Visual Studio Code include file not found in include directory (Windows 10)

I am trying to get intellisense in Visual Studio Code. I downloaded the the C/C++ extension from the marketplace: https://marketplace.visualstudio.com/items?itemName=ms-vscode.cpptools and also installed MinGW with the packages mingw32-base and mingw32-gcc-c++. I added the MinGW bin folder to Path in my Environment variables.

When I add any include statement in my .c file, such as #include <stdio.h>, Visual Studio Code says:

Include file not found in include directory

Am I not configuring correctly? How can I get intellisense for C/C++?

1. First, make sure to create a c_cpp_properties.json file in your .vscode folder

   Hint: Use the Command Palette (Ctrl+Shift+P) and type C/Cpp: Edit Configurations

2. Add include paths like this:

   {
     "configurations": [
       {
         "name": "Win32",
         "includePath": [
           "path_to_your/MinGW/lib/gcc/mingw32/4.8.1/include/c++"
         ],
         "browse": {
           "limitSymbolsToIncludedHeaders": true,
           "databaseFilename": ""
         }
       }
     ]
   }