Newbie help with header files

I'm getting an error trying to use a header file. Not knowing anything about C++ makes it pretty hard to figure out why. If anybody could help me out, I'd appreciate it.

VehicleCollection.h

Code:

#ifndef VEHICLECOLLECTION_H
#define VEHICLECOLLECTION_H

class VehicleCollection
{
    public:
        VehicleCollection();
        ~VehicleCollection(void);
};

#endif

VehicleCollection.cpp

Code:

#include "VehicleCollection.h"

VehicleCollection::VehicleCollection()
{
	
}

VehicleCollection::~VehicleCollection(void) {}

Here's the error I get in VS.NET 2003:
fatal error C1010: unexpected end of file while looking for precompiled header directive

Do a search for "precompiled header"
http://cboard.cprogramming.com/searc...searchid=31672
Specifically, how to turn the damn thing off

Thanks for the tip! So I guess I can get rid of the "stdafx" files it starts you off with?