Do you have Visual Studio 2008 Professional or one of the Express editions? Express editions require an SDK for the Windows platform because they do not contain OpenGL header files, etc.
In addition, if you intend to use GLUT, you need to download it separately. If you need more information, let us know!
This is a random site that I found with Google explaining how to get it working with the Express edition.
http://thoughtsfrommylife.com/article-748-OpenGL_and_Visual_Studio_Express_2008
Edit: I forgot to mention the obvious counterpoint to all of this: if you have full VS2008, OpenGL just works - no configuration is required. If you need GLUT, you still have to get it separately.
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