If you use a do-while like I did here, you find the first file with FindFirstFile then read through them until you run out of .txt files. I'm not sure that do-while is necessarily the most effective method however.
 
    #include <windows.h>
    #include <iostream>
    #include <fstream>
    #include <string>
    #include <cstdlib>
    using namespace std;
    int main()
    {
        string path = "c:\\data\\";
        string searchPattern = "*.txt";
        string fullSearchPath = path + searchPattern;
        WIN32_FIND_DATA FindData;
        HANDLE hFind;
        hFind = FindFirstFile( fullSearchPath.c_str(), &FindData );
        if( hFind == INVALID_HANDLE_VALUE )
        {
            cout << "Error searching data directory\n";
            return -1;
        }
        do
        {
            string filePath = path + FindData.cFileName;
            ifstream in( filePath.c_str() );
            if( in )
            {
                // do stuff
            }
            else
            {
                cout << "Problem opening file from data" << FindData.cFileName << "\n";
            }
        }
        while( FindNextFile(hFind, &FindData) > 0 );
        if( GetLastError() != ERROR_NO_MORE_FILES )
        {
            cout << "Something went wrong during searching\n";
        }
        system("pause");
        return 0;
    }
`