Well, what I always do with projects that have more than one file, is clock the compile button farthest to the right. It's the one with four litle grey boxes arraynged in a bigger box. That will compiler every single file in your project. Then click the second button, the appplication window, to run it.
Oh, and you have changed your project type from "Win32 Console" to "Win32 GUI" Right? If not, that might be part of your project. You change your project type in Project Options, on the first tab.