Not quite what you want perhaps, but the Visual Studio compiler (cl.exe) has an option /showIncludes which will show you a tree of the includes when you compile a file.
If you want this information for a single file then you can right-click on the file in the Solution Explorer, select "Properties", and in the "Command Line" section just add /showIncludes to the "Additional Options". (Note I'm using VC++ 2005, so it may be different for newer versions).
The output that you get is a little... convoluted, but it shows you what gets included and in what order.
Incidentally, the same feature in GCC and the Intel C++ compiler (my versions at least) is -H.
