You also need to include the relevant header file. At a guess, it would probably have a name like "Bitmap.h" or "gdi+.h".
There is some more detail on the Bitmap class here. The correct header file is "gdiplus.h". In short:
#include "gdiplus.h"
Constructor Information
Stock Implementation gdiplus.dll
Header Declared in Gdiplusheaders.h, include gdiplus.h
Import library gdiplus.lib
Minimum availability GDI+ 1.0
Minimum operating systems Windows 98/Me, Windows XP, Windows 2000,
Windows NT 4.0 SP6
In the table in MSDN, where it says "Header", this tells you the name of the header file you need to include. The "Import Library" you have already covered. Had you missed that, you would have gotten a link error.
EDIT:
In this article on getting started with GDI+, it looks like there is a namespace "Gdiplus" that you need to specify. Either use "using namespace Gdiplus" or specify the namespace explicitly.
#include <windows.h>
#include <gdiplus.h>
using namespace Gdiplus;
VOID OnPaint(HDC hdc)
{
Graphics graphics(hdc);
Pen pen(Color(255, 0, 0, 255));
graphics.DrawLine(&pen, 0, 0, 200, 100);
}