Including header file in C++

I have to include in my c++ program an header file (i.e. #include "tiny_dnn/tiny_dnn.h"). I have my .cpp file on the desktop as well as the tiny_dnn directory (in where there is tiny_dnn.h).

When I try to compile my program, it does find "tiny_dnn.h", but (becuase that header calls other headers included in the tiny_dnn directory) it fails to compile untill the end. In particular, it gives me an error (No such file or directory) at the line #include "tiny_dnn/config.h" (even if config.h is in the directory as tiny_dnn.h)

Before that line, I have the command #pragma once.

How can I solve my problem? Thank you for paying attention.