'Windows.h: No such file or directory" error when changing Platform Toolset to v140_xp

I tried to compile an application for Windows XP; the normal executable gives the error:

"... is not a valid Win32 application."

I read that I could create an XP-compatible executable by changing the Platform Toolset to Visual Studio 2015 - Windows XP (v140_xp), but when I do that and then try to compile it gives me the following errors:

Cannot open include file: 'Windows.h': No such file or directory

Could not find WindowsSdkDir_71A variable from registry. TargetFrameWorkVersion or Platform toolset may be set to an invalid version number.

How can I compile with this toolset version?