The MicroStationAPI help document lists classes and functions. The class description usually mentions the relevant header file(s). For example,
DgnECInstance Struct Reference
#include <DgnECInstance.h>
However, those include files are not in a flat directory structure. It would be useful if the #include were to specify the path from the root \include folder:
#include <DgnPlatform/DgnECInstance.h>