Hi you are not including the opencl header files. After you install the SDK you need to set your include directories for your compiler to the directory for the header files. This is the same as using any library or source code from any other project.
As mentioned by Yuri the ".cl" files can be compiled by the offline compiler but but you still have to write c/c++ code to call load the compiled kernels.
If you are still a little lost here is a link which show you how to set up a couple of the different opencl vendors libraries for visual studio. Which it doesn't cover specifically Intel's version the process is the same just linking to the libraries for them. Also if you are looking for a more "one click" solution the source code for the Great book OpenCL Programming guide is avalible online for free. I believe it autoconfigures a visual studio project for you when you run a script in their source code. The source is avalible here:
Also the book OpenCL in Action is very good and easy to use with very simple examples if you are looking for a book. I can highly recommend this book for a beginner to OpenCL. I wish I have it three years ago.