Include error when trying to include

Recently I tried to create tool using Windows Update Agent API in C++. The problem is, even include of the wuapi.h header file causes problems on my machine. It keeps saying, the header file could not be found.

#include <wuapi.h>

int main(int argc, char **args)
{
        return 0;
}

Attempt to compile the simple code ends up predictably:

gcc -o tool.exe file.cpp -pedantic -Wall -Wextra
file.cpp:1:10: fatal error: wuapi.h: No such file or directory
 #include <wuapi.h>
          ^~~~~~~~~
compilation terminated.

I found almost no information related to this issue on the Internet so far. That means I'm not sure what's wrong at all. I'm using Windows 10.0.18362.592 but more importantly I'm using mingw-w64 8.1.0 as a compiler. At this point I'm not sure, whether mingw-w64 supports this part of Win32 API. I found no useful information though.