Why doesn't #include <Python.h> work?

I'm trying to run Python modules in C++ using "#include <Python.h>", however, after setting the "Additional Include Dependencies" of the project to "\include" I get the following error when debuging,

LINK : fatal error LNK1104: cannot open file 'python27_d.lib'

I read that I should download the development version of Python, but I didn't find a link for that, plus, don't I just need the file 'python27_d.lib' to be copied to the "libs" folder?

Please note that I'm using the Anaconda distribution of Python.

Thanks in advance!