Your reference web site had this:

#include <util/Math.h>

#include <util/Vector.h>

#include <util/Matrix.h>

#include <util/SVD.h>

This means the Math.h heade is located along a path from the present working directory(PWD). Something like PWD/util/Math.h.
It really doeesn't matter. You need to a) get the Math.h header file from you web site and copy it to your local machine. If you put it in the same folder as the VC 6.0 project file, you can just include it by:
Be aware that Windows file name are not casesensitive so this Math.h will get confused with the C math.h. Probab;y you need to chnage the name of the Math.h header.
The above applies to all the headers that you include when you use coded from your web site.