You should set the environment variable "include". It is in the documentation:
The example source provided with this version require you have environment variable
INCLUDE set to the path of the include directory, which is the part of flat assembler
package. If such variable already exists in your system and contains paths used by some
other program, it’s enough to add the new path to it (the different paths should be
separated with semicolons). If you don’t want to define such variable in the system,
or don’t know how to do it, you can set it for the flat assembler IDE only by editing
the fasmw.ini file in its directory (this file is created by fasmw.exe when it’s executed,
but you can also create it by yourself). In this case you should add the Include value
into the Environment section. For example, when you have unpacked the flat assem-
bler files into the c:\fasmw directory, you should put the following two lines into your
c:\fasmw\fasmw.ini file:
[Environment]
Include = c:\fasmw\include
If you don’t define the INCLUDE environment variable properly, you will have to manually
provide the full path to the Win32 includes in every program you want to compile.