problems with class and header files

I put many classes' declaration in one header file, because of the very complicate relations between these classes cause a lot of problems when using include. Is this method ok? is there any thing wrong?
Show us how you did it. Also define "problems." Like are they compiler/linker errors or syntax or accessibility or what?
it's small game program. it has some component classes, a game object class, and a dx class to create window and draw scene. those component classes include some other conponent classes. some component classes have references of each other. (as I've said, it's pretty complicated) I know what cause the error - cycling include. but I'm having a big problem solving this. (because sometimes every one of three classes all have references of the other two...).
Then it should be fine; sometimes you need to do that, if say you have
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class A
{
    private:
        // some var a;
}

class B
{
    public:
       // A::someFunction b(a); 
}
thanks! this is really annoying....
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