In VS 2005, the way I do it is to put the header file in your project directory ie. C:\Documents and Settings\Brandon\My Documents\Visual Studio 2005\Projects\COSC\COSC and then for the include: do #include "time.h"
I'm not sure in v6, althought it should be the same.
Also, I'm not sure if this is how you have it or not but from what you have:
The specification file for the class header is
#include <mylist.cpp>
It looks like you header file is named as a cpp file. it needs the .h file extension.
Hope this helps.