Trouble working with Visual C++ Basic

I am an intermediate programmer familliar with C, Python, and Java, and trying to learn C++ while using Visual C++.

First I used the hello world example provided here in a new console project, it gives me the build error:

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1>  console project.cpp
1>console project.cpp(1): warning C4627: '#include <iostream>': skipped when looking for precompiled header use
1>          Add directive to 'StdAfx.h' or rebuild precompiled header
1>console project.cpp(2): error C2006: '#include' : expected a filename, found 'identifier'
1>console project.cpp(2): fatal error C1083: Cannot open include file: '': No such file or directory
========== Build: 0 succeeded, 1 failed, 0 up-to-date, 0 skipped ==========

(This is with #include stdafx.h added in)

Then I tried it in a new empty project and it did compile. However, the dubugger cannot not find the compiled application and my projects debug folder is empty.

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