I have to include many header files, which are in different sub-directories. Is there a way in Visual Studio (I am using 2005 edition) to set one include path that Visual Studio will search also the sub-directories for header files?
Setting the folder search paths in the Visual Studio settings to fix an include issue is generally not really a good idea from a design point of view. Your code will be less portable to different machines with different directory lay-outs.
My suggestion would be to settle on an organisation of your code so that the relative paths of the sub-directories (relative to your including code) are fixed:
#include "subdirectory/somefile.h"
.This has the added bonus of being able to see which folder in your Solution contains the file - that is often useful information when you're trying to find your way around or trying to figure out what a file is for.