[steven114]

What headers are missing? What game is it? If it's a unix game, you're going to have a hard time compiling it on a Windows system. Maybe cygwin or msys could help (google them). You'll probably have to find libraries that it uses and install them too. Not a small task if you don't know what you're doing. If it is a Windows game, then by the phrasing of your question I'd guess that you have the source code to a game which you're not exactly supposed to have the source to. Besides being illegal, there's no way you're going to get it to compile without finding the right libraries. Chances are good you'll have an even harder time, since they won't have source available either.

If it's an open source game for Windows, you might have a chance. There should be build instructions available which list which libraries you'll need. Follow those or post more specifics if you need help.

Things that are especially useful:
Name of the game
Error messages (copy and paste!)

Be sure to read any READMEs that came with it!