Here is how to split your C++ program into header files and C++ files 
using Visual Studio.NET:

(1) File -> New -> Project -> Visual C++ Projects -> Enter Name

(2) File > Add New Item > C++ File -> Enter Name

(3) Repeat (2) to add more C++ files to the project

(4) File > Add New Item > Header File -> Enter Name

(5) Repeat (4) to add more header files to the project

(6) Build -> Build Solution.

(7) Debug -> Start Without Debugging

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Here is how to split your C++ program into header files and C++ files
using Visual Studio 6.0:

(1) File -> New -> Files -> C++ Source File -> Enter Name

(2) Repeat (1) to create more C++ files if necessary

(3) File -> New -> Files -> C/C++ Header File -> Enter Name

(4) Repeat (3) to create more Header files if necessary

(5) Compile the driver program by choosing Build -> Compile

(6) Project -> Add To Project -> Files -> Choose file

(7) Repeat (6) if necessary

(8) Build -> Execute