you don't compile header files, only *.cpp and *.c files. you can list all the *.cpp files on the same line if you want or compile and link them separately.
Doing this from the command line is messy, but feasable. You have to learn all the switches -- there are a lot of them, but you don't have to know them all at once.
you can also create a makefile which contains all the compiler and linker commands. makefiles can get somewhat complex and you can find more about them by using google or searching microsoft.com.
The easiest way to do all that is using the compiler's IDE, which will correctly compile and/or generate the makefiles for you.
Ancient Dragon
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