I downloaded a library on my computer, but it consists of tons of folders and sub-folders, with .h and .lib files scattered throughout. Is it possible to simply include the entire directory tree under Tools->Options->Projects and Solutions->VC++ Directories?

Every file you include will add something extra to the compile time, and most of them won't actually be necessary. Chances are, if you look in the documentation for the library, they'll tell you that you only actually need to include one or two of those .h files, and they'll import the others as necessary for you. There's also a good chance that some of the .lib files are meant as alternatives to each other, so including all of them would be a very bad idea!

So in summary: check out the documentation to see what you actually need