Don't download individual header files, they can be platform specific and implementation dependent. If you can't get your compiler to compile basic C++ programs, it sounds like you have an outdated version of C++.
Assuming you're on Windows since you'd never have this problem in the first place on a standard Linux system, try using this compiler, it's what I personally use: https://nuwen.net/mingw.html
What OS are you using, if its windows Visual Studio comes with the whole package of c++ libraries once you install the visual c++ feature. You ain't gotta download the files individually. On a mac you can use Xcode.
Any sensible implementation of C++ should come with the standard library already included, surely?
If you have a compiler, and you don't already have the standard library, then you've done something very wrong, and trying to download individual parts of it is not the way to try and fix it.
The standard defines two different kinds of C++ implementations: hosted and freestanding.
The full set of headers described in the standard is available only on hosted implementations; freestanding implementations are required to to provide only a small subset of the standard headers (This subset need not include the header <iostream>) http://eel.is/c++draft/compliance
You may be using a freestanding implementation of C++; for example, one for a microcontroller board. If so, switch to a hosted implementation. If the OS you are using is known, some one here will guide you on how to install a suitable hosted implementation of C++.