They are only included in VC 2005, yes.
They were originally documented in this article:
http://msdn.microsoft.com/library/en-us/dnsecure/html/strsafe.asp?frame=true
which mentions that they're included in the SDK Core Components. They
might have been subsequently removed from the SDK, but you could check to
see if you have "strsafe.h" in your SDK include directory. If so, then
you should also have a corresponding .lib file as well.