When your C++ programs depend on ROS messages or services, they must be defined by catkin packages like std_msgs and sensor_msgs, which are used in the examples below.
There are several kinds of dependencies which must be declared in your package.xml and CMakeLists.txt files to resolve message references.
For each C++ message dependency, package.xml should provide both <build_depend> and <run_depend> tags with the ROS package name:
<build_depend>std_msgs</build_depend>
<run_depend>std_msgs</run_depend>
<build_depend>sensor_msgs</build_depend>
<run_depend>sensor_msgs</run_depend>
For C++ access to ROS messages, CMake needs to find the message or service headers:
find_package(catkin REQUIRED COMPONENTS std_msgs sensor_msgs)
include_directories(include ${catkin_INCLUDE_DIRS})
The include parameter is needed only if that subdirectory of your package contains headers also needed to compile your programs.
Since you presumably have build targets using the message or service headers, add this to ensure all their headers get built before any targets that need them:
add_dependencies(your_program ${catkin_EXPORTED_TARGETS})
add_dependencies(your_library ${catkin_EXPORTED_TARGETS})