Hi,
You can also adjust the file transfer settings on the Project Properties page in VisualGDB Project Properties. If you change the local directory there, then please change the makefile name on the Makefile settings page to be a relative path relative to that local directory.
Another option would be to have that header file in one of the project directories, if the other project is dependent on the project with the header file, then both projects will be transferred on build.
However, for a single file it is probably easier to just use a custom build step.