Parks-McClellan - compiling C++ code from Iowa Hills page
You need to back track on that site.
There is a complete set of source code and header files available that you will need.

This is all about the FIR-Filters. 

It links to this page with examples. 
You need the "Code Kit Download."
This will get you the FIRFilterCode.h.
Main.h will be missing because that belongs to the GUI  - which they don't seem to provide code for.
However, it should be fairly simple to fix.
Remove the include Main.h, then remove all references to TopForm.
You'll probably want to replace them with some kind of logging since all they do is provide feedback to the user.
The involved lines are 273+274 and 278+279.
Notes to that effect are included in the comments in NewParksMcClellan.cpp