xnamath not working

So I recently started using win32 when programming and this may be something that not many people have any trouble with, but when I try to #include <xnamath.h> I get nothing but "cannot find header file xnamath.h". If anyone could point me in the right direction I would greatly appreciate it.
What version of DirectX do you use ? Please read this :
http://msdn.microsoft.com/en-us/library/windows/desktop/ee418730%28v=vs.85%29.aspx
The DirectXMath library uses a new set of headers.

Replace the xnamath.h header with DirectXMath.h and add DirectXPackedVector.h for the “GPU packed” types.
Thank you. I am currently working with DirectX 11.
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