WINDCLASSEX is defined in WinUser.h, which is included by Windows.h:
#if(WINVER >= 0x0400)
typedef struct tagWNDCLASSEXA {
UINT cbSize;
UINT style;
WNDPROC lpfnWndProc;
int cbClsExtra;
int cbWndExtra;
HINSTANCE hInstance;
HICON hIcon;
HCURSOR hCursor;
HBRUSH hbrBackground;
LPCSTR lpszMenuName;
LPCSTR lpszClassName;
HICON hIconSm;
} WNDCLASSEXA, *PWNDCLASSEXA, NEAR *NPWNDCLASSEXA, FAR *LPWNDCLASSEXA;
typedef struct tagWNDCLASSEXW {
UINT cbSize;
UINT style;
WNDPROC lpfnWndProc;
int cbClsExtra;
int cbWndExtra;
HINSTANCE hInstance;
HICON hIcon;
HCURSOR hCursor;
HBRUSH hbrBackground;
LPCWSTR lpszMenuName;
LPCWSTR lpszClassName;
HICON hIconSm;
} WNDCLASSEXW, *PWNDCLASSEXW, NEAR *NPWNDCLASSEXW, FAR *LPWNDCLASSEXW;
#ifdef UNICODE
typedef WNDCLASSEXW WNDCLASSEX;
typedef PWNDCLASSEXW PWNDCLASSEX;
typedef NPWNDCLASSEXW NPWNDCLASSEX;
typedef LPWNDCLASSEXW LPWNDCLASSEX;
#else
typedef WNDCLASSEXA WNDCLASSEX;
typedef PWNDCLASSEXA PWNDCLASSEX;
typedef NPWNDCLASSEXA NPWNDCLASSEX;
typedef LPWNDCLASSEXA LPWNDCLASSEX;
#endif // UNICODE
#endif /* WINVER >= 0x0400 */
typedef struct tagWNDCLASSA {
UINT style;
WNDPROC lpfnWndProc;
int cbClsExtra;
int cbWndExtra;
HINSTANCE hInstance;
HICON hIcon;
HCURSOR hCursor;
HBRUSH hbrBackground;
LPCSTR lpszMenuName;
LPCSTR lpszClassName;
} WNDCLASSA, *PWNDCLASSA, NEAR *NPWNDCLASSA, FAR *LPWNDCLASSA;
typedef struct tagWNDCLASSW {
UINT style;
WNDPROC lpfnWndProc;
int cbClsExtra;
int cbWndExtra;
HINSTANCE hInstance;
HICON hIcon;
HCURSOR hCursor;
HBRUSH hbrBackground;
LPCWSTR lpszMenuName;
LPCWSTR lpszClassName;
} WNDCLASSW, *PWNDCLASSW, NEAR *NPWNDCLASSW, FAR *LPWNDCLASSW;
#ifdef UNICODE
typedef WNDCLASSW WNDCLASS;
typedef PWNDCLASSW PWNDCLASS;
typedef NPWNDCLASSW NPWNDCLASS;
typedef LPWNDCLASSW LPWNDCLASS;
#else
typedef WNDCLASSA WNDCLASS;
typedef PWNDCLASSA PWNDCLASS;
typedef NPWNDCLASSA NPWNDCLASS;
typedef LPWNDCLASSA LPWNDCLASS;
#endif // UNICODE
If you haven't defined WINVER at all, or haven't defined it to be greater than 0x0400, then it won't get defined.
The usual visual studio boilerplate stuff will define WINVER for you (normally in stdafx.h), but if you are using a Borland compiler you'll need to define WINVER somewhere (on the command line or in the code prior to including windows.h) in order to get WINDCLASSEX defined.