Look in the Options-->Languages-->"Application Languages"-->"C/C++"-->"Compiler Properties" tab sheet, there's a "Header File (optional)" file selector.
The optional header file can "#include" other files and should include all the default implicit macro defines of the compiler and build system in use, see the Bourne shell script "generate-g++-header.sh" in the plugins/com_slickedit.base/sysconfig/vsparser folder of the Slickedit installation to see how to dump those with the GNU compilers. (See "C/C++ Compiler Settings" in the Slickedit help for more on this.)