How do include paths work in Visual Studio?

@RichieHindle solution is now deprecated as of Visual Studio 2012. As the VS studio prompt now states:

VC++ Directories are now available as a user property sheet that is added by default to all projects.

To set an include path you now must right-click a project and go to:

Properties/VC++ Directories/General/Include Directories

Screenshot: enter image description here

This answer only applies to ancient versions of Visual Studio - see the more recent answers for modern versions.

You can set Visual Studio's global include path here:

Tools / Options / Projects and Solutions / VC++ Directories / Include files

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