in VS6, 2003 and 2005 I do not get completion lists for #include lines. It does not open any listbox after typing "#include " nor does it open a list of include files when forcing a listbox with <ctrl>+<space>. With <ctrl>+<space> it opens a listbox which seems to have all available symbols in it - from "___mb_cur_max_func" to "wscanf_s".
I have checked the behaviour in a C++ console app, ATL project, Win32 app. Always the same.