unknown headers?
are you sure you just don't have them all?

NeHe.gamedev.net is very, very good.

the headers you need are:
GL/gl.h
GL/glu.h

optional:
GL/glut.h // Window stuff OR
GL/glfw.h // openGL FrameWork

also
GL/glew.h // new stuff support without address binding

You should start with OpenGL 2.0 (nehe is 1.2 to 2.0) and then when you're familiar with GL switch to OpenGL 3.0

Suggested reading:
OpenGL Redbook (programming guide)
OpenGL Bluebook (reference guide)
OpenGL SuperBible

OpenGL is a good api, but before you can dwell into 3.0 I suggest to understand the basics first.

Hope I could help