Open up your Project menu and click Properties. In the list on the left hand side of the window, expand Configuration Properties and select VC++ Directories. Select Include Directories, click the little arrow that appears and choose Edit. Now add the directory in which vcl.h resides. This will allow you to use #include <vcl.h> just like you did in C++ Builder.
You may need to link to the appropriate library as well. A quick google tells me that the library in question is vcle.lib.