Visual Studio Code include file not found in include directory (Windows 10)

As an expansion to wbmrcb's answer, I found header files under Windows Kits directory:

C:\Program Files (x86)\Windows Kits\10\Include\10.0.10586.0\ucrt

On Fedora linux I added the following path where all my c header files lives.

/usr/include/**

to myc_cpp_properties.json file.

{
    "configurations": [
        {
            "name": "Linux",
            "includePath": [
                "${workspaceFolder}/**",
                "/usr/include/**"
            ],
            ...
        }
    ],
    "version": 4
}

1. First, make sure to create a c_cpp_properties.json file in your .vscode folder

   Hint: Use the Command Palette (Ctrl+Shift+P) and type C/Cpp: Edit Configurations

2. Add include paths like this:

   {
     "configurations": [
       {
         "name": "Win32",
         "includePath": [
           "path_to_your/MinGW/lib/gcc/mingw32/4.8.1/include/c++"
         ],
         "browse": {
           "limitSymbolsToIncludedHeaders": true,
           "databaseFilename": ""
         }
       }
     ]
   }