Why are you using Turbo C++? That is very old... You should use something newer like Dev-C++ which can be downloaded here: http://www.bloodshed.net/devcpp.html
or Visual C++ express edition: http://www.microsoft.com/express/vc/
These should clear up any problems by having up-to-date libraries and compilers.
What version of Windows are you using?
Edit: Oh and why are you using winnt.h? As far as I know, that's a pretty old library - you should use windows.h instead.
I am not using winnt.h. I was using it when I was using turbo C++. But as you suggested I am now using Dev C++. In that I am not able to compile the file.
I am getting this message
Have you created a project for Dev-C++ or have you just opened your source file? It may help to start a blank project with no files and then add your source file to it and then try compiling.
Did you download the version of Dev-C++ that says "with Mingw/GCC" or the one that says "executable only" on the download page? If you downloaded the executable only version then you chose the one without a compiler built in to it, which could cause some problems :P