Ok to make my answer a bit easier:
here is what you need to do.
Check out the documentation for installing plugixml here:
http://pugixml.org/docs/quickstart.html#install
The following lines are essential to making this work:
The complete pugixml source consists of three files - one source file, pugixml.cpp, and two header files, pugixml.hpp and pugiconfig.hpp.
pugixml.hpp is the primary header which you need to include in order to use pugixml classes/functions. The rest of this guide assumes that pugixml.hpp is either in the current directory or
in one of include directories of your projects, so that #include "pugixml.hpp" can find the header;
So, there you have it... include pugixml.hpp into your project when compiling.
EDIT: I didn't yet see your new post while I was writing this, I'll try helping you out hold on. Let me see what I can find. But first try what I suggested in this post instead of putting it in the src directory which I said in my previous post.
EDIT2: could you please show me which file points to the error? it should say so on the right of the error list.
EDIT3: ah boost is another dependency you need on your system in order to compile. I'll search for installation instructions on windows. These things are way easier on unix file systems :/
EDIT4: try installing boost on windows, here is a blog post showing you how it can be done:
http://andres.jaimes.net/718/how-to-install-the-c-boost-libraries-on-windows/
you won't have to do the last check with the c++ file. You can simply run the compilation again after you've installed it.
Since that blog post is using minGW to compile you could also checkout this stackoverflow post:
http://stackoverflow.com/questions/15766386/how-to-install-boost-on-windows-7-with-vs
It's a little advanced to get this to work but just read a lot and use common sense.
After you are done installing boost you might want to try and find the .hpp file and include it in your project aswell. I would also suggest you build the pugixml library.
Check out this link for building the pugixml libraries:
http://pugixml.googlecode.com/svn/trunk/docs/manual/install.html#manual.install.building.static
It's not a good practice to only include the header files without having the actual libraries installed. You will get problems with your server then even if it compiles correctly... (for example some function calls won't work because you simply don't have the library's that contain the functions when executing the compiled source)
Note: don't forget to add the compiled libraries to your path environment variable.
Here is an example of how easy it would have been in a debian linux distro like ubuntu:
sudo apt-get install libboost-all-dev libpugixml-dev