Well, first put all your code into the correct files (Make sure they are all in the same project too) Then click the green arrow on one of the top bars to run the program (it will compile it for you). You can then test it/make changes. The .exe will be somewhere around your documents/vis studio 2008/projects/<name of project>/
I am assuming u r using Visual studio for normal C++ programming rather than windows programming.
File -> New-> Click Files tab Select C++ header file or C++ Source file(depending upon whether u want to write .cpp file or .h file). Give suitable name and save at your convenient location.
After writing code press ctrl+F7 or Build-> Compile
I have written this with respect to Visual Studio 6. Even if it is another version it would be quite similar.
I send a big thankyou for All of you!
The Visual Studio I mentioned above, was the VS2008TS. I found it very difficult to work with and replaced with Visual C++ 2005 Express ED. I hope I can use it easily. If I have problem I will ask about.