I just had a quick look at that example. There's a couple of things you'll probably have to do:
1) One of the include statements refers to "graphics.h", which has an associated graphics library (as 3Toed was saying). So when you compile you need to link it to that library. To do that (assuming you're using the gui not the command line): From the menu click -> [Options] -> [Linker] -> [Libraries] -> and tick the "Graphics Library" box. (make sure the "standard runtime library" is ticked as well (but it usually is)).
2)Try and compile / run the program now. It should at least compile / link and generate a ".exe" file. When you run it, you'll probably get an error, that "egavga.bgi couldn't be found". So to fix that, there's a directory called "bgi" under the directory where your turbo c++ is installed. Copy the egavga.bgi file to the directory which has the executable file you have created. Now hopefully it should work.
Well that's all I did and it worked for me. Good luck :)