New to C++, Need Help Setting Up IDE

Hello, I'm trying to teach myself C++ right now using MS Visual C++
Express Edition.  I'm trying to follow the tutorial here:
http://www.developerfusion.co.uk/show/3653/2/

When I compile the file, however, I get an error:
fatal error C1083: Cannot open include file: 'iostream.h': No such
file or directory

I thought iostream was kinda a standard library that should've come
with the IDE (maybe I'm too used to Java?).  Do I have to download
this?  Where?

Thanks

Justin