It appears you don't know how to use your HLA compiler correctly and the program is unable to find the files you require.
High Level Assembly is a good choice though if you're starting to learn assembly. However, it is strongly recommended you learn C or C++ or spankin awful VC++ before learning ANY assembly.
If you are wanting to go hardcore like that, here's your best choice (assuming you use windows). It's free.
http://www.cs.virginia.edu/~lcc-win32/
If you choose to download that and have any questions, feel free to ask them in the C/C++ forum.
You'll find example LCC programs (currently 2) at my site.
http://serialcoders.sytes.net