compiling simple hellow world with mingw g++ - c++

Question

I am new to mingw/C++ and would like to compile and run the following code I found online:
#include <iostream>
using namespace std;
int main()
{
cout << "Hello, World!";
return 0;
}
Unfortunately, running a g++ helloworld.cpp -o helloworld.exe throws the following error:
In file included from c:\mingw\include\_mingw.h:73,
from c:\mingw\include\wchar.h:53,
from c:\mingw\lib\gcc\mingw32\8.2.0\include\c++\cwchar:44,
from c:\mingw\lib\gcc\mingw32\8.2.0\include\c++\bits\postypes.h:40,
from c:\mingw\lib\gcc\mingw32\8.2.0\include\c++\iosfwd:40,
from c:\mingw\lib\gcc\mingw32\8.2.0\include\c++\ios:38,
from c:\mingw\lib\gcc\mingw32\8.2.0\include\c++\ostream:38,
from c:\mingw\lib\gcc\mingw32\8.2.0\include\c++\iostream:39,
from helloworld.cpp:1:
c:\mingw\include\w32api.h:59:10: fatal error: sdkddkver.h: No such file or directory
#include <sdkddkver.h>
^~~~~~~~~~~~~
compilation terminated.
I have the impression this is related to Windows SDK and triggered by #include <iostream>. What is <iostream>, why is it important here and how can I get it to compile with g++?
EDIT
g++ version information
D:\TEMP\mingw_example>g++ --version
g++ (MinGW.org GCC-8.2.0-5) 8.2.0
Copyright (C) 2018 Free Software Foundation, Inc.
This is free software; see the source for copying conditions. There is NO
warranty; not even for MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.