If you have installed UE4 and are running the launcher from there, you will get the “can’t find files error” for the open gl headers when including OpenGLWindows.h
In the Source/ThirdParty/OpenGL/ directory the folders containing the headers are not included. If you download the source from GitHub you will find the Gl/ subdirectory folder with the proper headers to build against.
You can copy them to the their proper place in your install source folder, or copy them into a ThirdParty/ folder in your plugin and add the path to them in your build file.
This should save you the trouble of having to redo the initialization work.