You should leave the headers where they belong, but add settings to your project to tell the compiler where to find them. The command-line settings should look like (I believe)
/I C:\j2sdk1.4.2\include /I C:\j2sdk1.4.2\include\win32
It's been a few years since I've seen VC++, so I can't tell you exactly where to put this, but it's going to be part of the project settings.