Searching MSDN for that constant brings up one result: it's a failure code for SetFilePointer() and is defined in winbase.h, which is included in any project that includes windows.h. That's the latest information. However, I've got VC++ 6.0 and the documentation for that function on my MSDN CD says that the failure code used in the same situation is 0xFFFFFFFF. So my guess is that -- unless you've somehow neglected to include windows.h -- your copies of the Windows headers predate the introduction of this constant.
I believe that downloading the latest SDK would remedy this, but Visual C++ 6.0 is not supported by this latest version. So if you're using VC++ 6.0, the easiest thing to do would probably be to define this constant yourself for the time being:
#define INVALID_SET_FILE_POINTER 0xFFFFFFFF