The system cannot find the file specified Visual Studio 2015

I just started programming, but I keep on getting problems with headers and stuff. So, whenever I try and run the code

 // ConsoleApplication4.cpp : Defines the entry point for the console      application.
#include "stdafx.h"
#include "std_lib_facilities.h"

int main()
{
    return 0;
}

I get this warning saying "The system cannot find the file specified".

As you might've noticed, I'm following Bjarne Stroustrup's book on this, and he doesn't specify how to deal with this at all.

Anyways, the std_lib_facilities.h header is in the same folder as ConsoleApplication.cpp , just as he tells me to do.

I don't actually think this has anything to do with this program in particular, since I face this problem with all the projects I make.

I have a feeling the answer to this is overly obvious, or I just messed something up. Oh yes, I have to say that I've checked multiple related questions to this, but the questions didn't match mine.

I also tried to #include "../std_lib_facilities.h" and #include "../../std_lib_facilities.h" , with no results.(Same with stdafx.h) I've tried "building" the program, but I don't actually know what that does, and if I should build the solution or the cpp, and when to debug....

The answer surely isn't in the book, since I've continued on to chapter 8, not doing the exercises because I cannot get the thing to work.

I'm looking forward to programming and helping out this community as soon as my input is reliable and not error-filled!

(Please also tell me if I messed something up in this question, i.e. that I need to talk less, give more details or something)