Hi,
This is really a generic C++ question and not something specific to VisualGDB, so the amount of help we can provide here is very limited. If you are new to C/C++, we would advise looking up and following a few beginner’s tutorials that explain source and header files. It could save you immense time compared to trying to guess the correct configuration.
You can also find a few best practice articles published by Microsoft by searching for “Visual Studio add cpp file”. As VisualGDB embedded projects inherit the Visual Studio’s project system, everything described in those articles will apply to VisualGDB projects as well.
Regarding your second question, neither Visual Studio nor VisualGDB would automatically build all files from a specific folder, as it could normally cause confusion. Explicitly adding the source files to Solution Explorer (and using virtual folders to organize them) is the way to go for C/C++ projects.