It is because conio doesn't exist. Here is a link I found that gives some background on why there are two versions of iostream headers. You could probably find a lot of articles on the subject using a search engine. I searched on "iostream vs. iostream.h".
By the way, conio is not part of the std library. If you can avoid using it that would be better. I have never had to use it myself. You are better off using the standardized libraries.