Almost all games and other major programs consists of many many files. What you learn in school only scratches the surface of what occurs in real life programs. Example: Notepad.exe probably consists of at least 50 *.c and *.h files. Every program you use in MS-Windows and *nix consist of a lot of files. Some programs consist of over a million lines of code -- can you imagine all that in a sincle file??
you will eventually write programs that consist of multiple files. That is done to keep things simple and organized into logical units.