Don't download individual header files, they can be platform specific and implementation dependent. If you can't get your compiler to compile basic C++ programs, it sounds like you have an outdated version of C++.
Assuming you're on Windows since you'd never have this problem in the first place on a standard Linux system, try using this compiler, it's what I personally use: https://nuwen.net/mingw.html
What OS are you using, if its windows Visual Studio comes with the whole package of c++ libraries once you install the visual c++ feature. You ain't gotta download the files individually. On a mac you can use Xcode.
The standard defines two different kinds of C++ implementations: hosted and freestanding.
The full set of headers described in the standard is available only on hosted implementations; freestanding implementations are required to to provide only a small subset of the standard headers (This subset need not include the header <iostream>) http://eel.is/c++draft/compliance
You may be using a freestanding implementation of C++; for example, one for a microcontroller board. If so, switch to a hosted implementation. If the OS you are using is known, some one here will guide you on how to install a suitable hosted implementation of C++.