How to compile a C program in gcc which has header files?

I want to compile a C program in gcc which has my 2 header files.

I am using the command:

gcc UDP_Receive.c -o UDP_Receive -lm

to compile it but I get an error stating "UDP_Data.h: No such file or directory"

How can I tell the compiler to include these header files?

Header Files:

#include "UDP_Data.h"

#include "Crypt.h"

Thanks, Ritesh