To add your line to the start of each file you could do
for i in 000*; do sed '1i#include<conio.h>' "$i"; done
1i means insert this at the first line (before existing first line). The existing first line becomes line 2. A warning: this command will fail (do nothing) for empty files.
The contents of all the files with the added line will appear in the terminal one after the other. If it looks right, then do again with
-i to change the files in place
for i in 000*; do sed -i '1i#include<conio.h>' "$i"; done
If you just want to remove the leading
0 from after
_ you could use
rename to rename the files...
rename 's/0_0/0_/' 000*