.hpp?

Hello guys. I'm starting with cpp and i have a doubt referred at the .hpp files. I have maked a program with a main file in a .cpp and all the other classes in .hpp files included by this "main.cpp" file. This works fine at this program but i know that this .hpp files are for headers... can anyone explain me why I should not make that on this way? I can have problems makin it on this way? Thanks for the answers and sry for the bad english!
Very good explanation of header files and what they are used for here:

http://www.cplusplus.com/forum/articles/10627/
Tnx for this really fast answer! I will read it and return later.
Really good article! Thanks again, but i still with a doubt... why should i not put the classes in a .hpp file? Will i have real problems with it? (performance or other disadvantages...?)
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