You can work with a single file but it has to be in a project.
Why is that? You probably ask. Well you might add some other files later(resources, databasefiles, etc.) if you stay with one file OK, but it's handy if you have more files to keep them in one project.
3 years before I used Borland C++ compiler and their editor to and I didn't have to make new project to compile. I just opened I single Cpp file and click Compile and than Run and everything was OK . I'm interested to, to know how to compile a single .cpp file without making new project in Visual Studio probably it is possible.