One of the big pains of using OpenGL on Windows is that the Windows SDK only ships with OpenGL 1.1. There's probably a really good technical (and non-political) reason for this, but the fact remains, if you want to do anything with OpenGL on Windows, you're on your own.
What you need then, is something to bring the Windows SDK up to current standards (OpenGL 4.1 as I write this.) When I was originally trying to solve this problem (around the time of OpenGL 3.0), I came across GLee http://elf-stone.com/glee.php which is a cool library which makes the full OpenGL spec available easily. I didn't like their license, so I decided to write my own extension loader.
I don't think anyone should ever have to do this again, so I've made mine public domain, do with it as you will. I'd like to hear if you use it in something, but that's not a requirement.
http://www.onemanmmo.com/index.php?cmd=newsitem&comment=news.1.28.0