I think TC is talking about using the Add Class menu option. And the reason is classes are usually split into the class definition (in the header) and the implementation (in the source file).
Zhuge has it right. Classes are split into two files, a .h** header for the class definition and a .cpp file for the member function definition. This is so that anyone reading your code doesn't go cross eyed counting open '{' and close '}' brackets.