You are right in thinking that an application must consist of several files. This is where "Project Manager" comes handy.
Within the Project Manager, you can add, remove, and rename files.
You can also combine related projects to form project group, which you can compile at the same time.
Note how Project Manager transform into "Data Explorer" or "Model View" when you click the tab at the bottom of this window. Unfortunately, it's too early to start explaining what are those used for.
We'll finish this tour with the "Toll Palette"...