How do I import to my c project?

I'm using vscode and I have cl and gcc compilers.

I want to use the winternl.h header in my C language project.

When I compile with gcc (mingw), it gives me a fatal error that winternal.h is not found.

When I compile with cl, it gives me a fatal error that stdio.h is not found.

I tried to use the cl compiler inside Developer command prompt for vs and it doesnt work.