It is in fact System::String, but it's a .net thing.
AFAIK you don't have to include anything. If you create a .net project in VS2010 it sets the right libraries in the project settings.
In your code you can add the namespace: usingnamespace System; or write System::String ^ foo.
I don't think you can use the .net class library in a plain Win32 or MFC project. But MFC brings its own CString class and for Win32 you can use string from the c-stdlib (include <string>). The include for CString from the MFC/ATL is either afxwin.h or atlstr.h.