Visual C++ 2008 problem

[Gamegoofs2]

OK I'm just starting to learn C++ and I was told to use Visual C++ for my compiler. So I started with the first program, but I get these errors every time I run debug.
Here's the debug:
1>------ Build started: Project: First Prog, Configuration: Debug Win32 ------
1>Compiling...
1>First Prog.cpp
1>c:\users\evan\documents\visual studio 2008\projects\first prog\first prog\first prog.cpp(3) : warning C4627: '#include <iostream.h>': skipped when looking for precompiled header use
1> Add directive to 'stdafx.h' or rebuild precompiled header
1>c:\users\evan\documents\visual studio 2008\projects\first prog\first prog\first prog.cpp(11) : fatal error C1010: unexpected end of file while looking for precompiled header. Did you forget to add '#include "stdafx.h"' to your source?
1>Build log was saved at "file://c:\Users\Evan\Documents\Visual Studio 2008\Projects\First Prog\First Prog\Debug\BuildLog.htm"
1>First Prog - 1 error(s), 1 warning(s)
========== Build: 0 succeeded, 1 failed, 0 up-to-date, 0 skipped ==========


Then I get this error at the end:
Unable to start program 'C:\users\evan\documents\Visual Studio 2008\projects\First Prog\Debug\First Prog.exe.'
The system could not find the file specified.


Is there something wrong with my code?

[z05DSL3A]

add #include "stdafx.h" to the top of your code, or turn off use precompiled headers.