C++ Redefinition Header Files (winsock2.h)

How do I prevent from including header files twice? The problem is I'm including the in MyClass.h and then I'm including MyClass.h in many files, so it includes multiple times and redefinition error occurs. How to prevent?

I'm using #pragma once instead of include guards, and I guess that's fine.

MyClass.h:

// MyClass.h
#pragma once

#include <winsock2.h>

class MyClass
{

// methods
public:
 MyClass(unsigned short port);
 virtual ~MyClass(void);
};

EDIT: Few of the errors I'm getting

c:\program files\microsoft sdks\windows\v6.0a\include\ws2def.h(91) : warning C4005: 'AF_IPX' : macro redefinition
        c:\program files\microsoft sdks\windows\v6.0a\include\winsock.h(460) : see previous definition of 'AF_IPX'
c:\program files\microsoft sdks\windows\v6.0a\include\ws2def.h(124) : warning C4005: 'AF_MAX' : macro redefinition
        c:\program files\microsoft sdks\windows\v6.0a\include\winsock.h(479) : see previous definition of 'AF_MAX'
c:\program files\microsoft sdks\windows\v6.0a\include\ws2def.h(163) : warning C4005: 'SO_DONTLINGER' : macro redefinition
        c:\program files\microsoft sdks\windows\v6.0a\include\winsock.h(402) : see previous definition of 'SO_DONTLINGER'
c:\program files\microsoft sdks\windows\v6.0a\include\ws2def.h(206) : error C2011: 'sockaddr' : 'struct' type redefinition
        c:\program files\microsoft sdks\windows\v6.0a\include\winsock.h(485) : see declaration of 'sockaddr'
c:\program files\microsoft sdks\windows\v6.0a\include\ws2def.h(384) : error C2143: syntax error : missing '}' before 'constant'
c:\program files\microsoft sdks\windows\v6.0a\include\ws2def.h(384) : error C2143: syntax error : missing ';' before 'constant'
c:\program files\microsoft sdks\windows\v6.0a\include\ws2def.h(384) : error C2059: syntax error : 'constant'
c:\program files\microsoft sdks\windows\v6.0a\include\ws2def.h(437) : error C2143: syntax error : missing ';' before '}'
c:\program files\microsoft sdks\windows\v6.0a\include\ws2def.h(437) : error C4430: missing type specifier - int assumed. Note: C++ does not support default-int
c:\program files\microsoft sdks\windows\v6.0a\include\ws2def.h(437) : error C4430: missing type specifier - int assumed. Note: C++ does not support default-int
c:\program files\microsoft sdks\windows\v6.0a\include\ws2def.h(518) : warning C4005: 'IN_CLASSA' : macro redefinition
        c:\program files\microsoft sdks\windows\v6.0a\include\winsock.h(287) : see previous definition of 'IN_CLASSA'
c:\program files\microsoft sdks\windows\v6.0a\include\ws2def.h(524) : warning C4005: 'IN_CLASSB' : macro redefinition
        c:\program files\microsoft sdks\windows\v6.0a\include\winsock.h(293) : see previous definition of 'IN_CLASSB'
c:\program files\microsoft sdks\windows\v6.0a\include\ws2def.h(530) : warning C4005: 'IN_CLASSC' : macro redefinition
        c:\program files\microsoft sdks\windows\v6.0a\include\winsock.h(299) : see previous definition of 'IN_CLASSC'
c:\program files\microsoft sdks\windows\v6.0a\include\ws2def.h(541) : warning C4005: 'INADDR_ANY' : macro redefinition
        c:\program files\microsoft sdks\windows\v6.0a\include\winsock.h(304) : see previous definition of 'INADDR_ANY'
c:\program files\microsoft sdks\windows\v6.0a\include\ws2def.h(543) : warning C4005: 'INADDR_BROADCAST' : macro redefinition
        c:\program files\microsoft sdks\windows\v6.0a\include\winsock.h(306) : see previous definition of 'INADDR_BROADCAST'
c:\program files\microsoft sdks\windows\v6.0a\include\ws2def.h(577) : error C2011: 'sockaddr_in' : 'struct' type redefinition
        c:\program files\microsoft sdks\windows\v6.0a\include\winsock.h(312) : see declaration of 'sockaddr_in'
c:\program files\microsoft sdks\windows\v6.0a\include\winsock2.h(132) : error C2011: 'fd_set' : 'struct' type redefinition
        c:\program files\microsoft sdks\windows\v6.0a\include\winsock.h(68) : see declaration of 'fd_set'
c:\program files\microsoft sdks\windows\v6.0a\include\winsock2.h(167) : warning C4005: 'FD_SET' : macro redefinition
        c:\program files\microsoft sdks\windows\v6.0a\include\winsock.h(102) : see previous definition of 'FD_SET'
c:\program files\microsoft sdks\windows\v6.0a\include\winsock2.h(176) : error C2011: 'timeval' : 'struct' type redefinition
        c:\program files\microsoft sdks\windows\v6.0a\include\winsock.h(111) : see declaration of 'timeval'
c:\program files\microsoft sdks\windows\v6.0a\include\winsock2.h(232) : error C2011: 'hostent' : 'struct' type redefinition
        c:\program files\microsoft sdks\windows\v6.0a\include\winsock.h(167) : see declaration of 'hostent'
c:\program files\microsoft sdks\windows\v6.0a\include\winsock2.h(245) : error C2011: 'netent' : 'struct' type redefinition
        c:\program files\microsoft sdks\windows\v6.0a\include\winsock.h(180) : see declaration of 'netent'
c:\program files\microsoft sdks\windows\v6.0a\include\winsock2.h(252) : error C2011: 'servent' : 'struct' type redefinition
        c:\program files\microsoft sdks\windows\v6.0a\include\winsock.h(187) : see declaration of 'servent'
c:\program files\microsoft sdks\windows\v6.0a\include\winsock2.h(264) : error C2011: 'protoent' : 'struct' type redefinition
        c:\program files\microsoft sdks\windows\v6.0a\include\winsock.h(199) : see declaration of 'protoent'