Erm if your talking about having a main project / solution with sub 'files' then you click the menu on the left
Solution explorer and then (find) & right click your
Source Files folder and then click add
New Item then click
New Item a .cpp file and put your functions ect in that. Any classes or what not put in .h's ->
.h files are declarations / .cpp files are definitions.
if you want to LOAD a file into your project you copy the files into your project, then in visual studios, again click the solution explorer, right click source files, click add then click
existing item and (find) & add your / a file into your project.
once you create / loaded a file(s) in your your main or any file you just #include it. eg include "GameEngine.h"
Hopefully thats what you meant aha...