Actually the APIs are for download at Microsoft, Apple or other O.S. vendor.
Please take a look at
http://www.opengl.org/documentation/implementations/.
For Windows, the self-extracting file opengl95.exe is pointed from there. This package has the gl.h and glu.h you are searching for.
By the way, if you don't have such headers, probably don't have also other must to have files, as OPENGL.DLL, GLU.DLL and OPENGL32.LIB and GLU32.LIB (don't use the oldfashioned AUX files, the GLUTs are better). The DLLs should be placed at SYSTEM32 Windows directory. And the LIBs' path should be configured in your compiler/linker.