That sounds a bit like Visual Studio, right? Once you create a project you should be able to right-click on the 'Header Files' and 'Source Files' folders in the solution explorer and add header/source files respectively. Is that what you mean?
What about the thing it teaches in the first section of 'Documentation'.... the 'Structure of a Program', that doesn''t exactly look like 'My first program'
The first program you do will probably be in one file, meaning you won't need header files. Just a main. Are you familiar with writing other functions aside from main?
To be honest if you are following the tutorial, you don't want to worry about header files for a little bit. Just work with the one source file. The header files are useful when you have multiple source files that call functions written in a different file. (It might seem a little confusing, but let me clarify)
You write some code that uses a function called SomeFunction. You write it in a file called SomeFunction.cpp, but you can't access it from another file that is written later, as that file does not know about the function. Putting a prototype in the header file means you can call the function in another file as long as you include the header file.
An easy example of this is when you use functions in iostream or stdio. Those functions are written in some other file, but the header contains prototypes so the compiler knows what the function takes and returns.
I started a new, Empty, Win32 Console application. I inserted a C++ file (.cpp) into 'Source Files' and put the code from the documentation 'Structure of a Program' in it. When I click 'run' it says there were 'Build errors' and doesn't load.
Headers contain data for use by other programs. Headers are (with some rare exceptions) NOT compiled. They serve as packages to store classes and functions for use by the general programmer. Headers should not contain the implementation of any function, excepting templates. There's an article around here on specifics. To draw on the majority of standard C++ libraries (all of them afaik) you need to include them by #including the header files. Headers are, essentially, designed to make clear a continuous and standardized declaration of stuff you intend on using, so you don't mess that stuff up between files.
Source files contain the actual code you will be executing. Source also contains the implementation of functions and they will also contain your main().
And if you use void main() you can't even call yourself a programmer. It's int main or nothing.
Check the tutorial on this site for the essentials; there's tons on this place.
I don't know the build errors it just says "There were build errors". I used the exact same code from the documentation "Structure of a program". The code is in a .cpp file in the 'Source Files' .
You should build your project separately (i.e. don't try to run it). Right-click on the project node in the 'Solution Explorer' tab (click 'View->Solution Explorer' if you can't see it), and then select 'Build'. You should then be able to tell us the errors that appear in the 'Error List' (click 'View->Other Windows->Error List' if you can't see it).