You have to go to "File -> New -> Project" and then create a new empty project. Then right click the new project on the left hand side, and select "Add -> Existing Item". Then you just add all the source files (and header files) to the new project.
After that you should be able to go to "Debug -> Start Debugging".
[edit] Or "Debug -> Start without Debugging" (but you may need to add this option to the menu via "Tools -> Customise" first).
They come with Microsoft Visual C++. Unless you are talking about compiling someone else's code, or your old code, I would recommend you use the C++ headers instead :)
Because graphics.h is not standard C or C++ header, you can google for it though, there are some variants, but you should check your source first.
My guess is the graphics.h that comes with Borland's Turbo C
Let me to re-phrase my question :"Where can I find sample c++ graphics codes (i.e make a pallet and color it and make simple drop-down menu) that can be run on my MS Visual Studio?"
On Borland C, there was a complete help on how to make a palette and select the color and so make a drop-down menu to sense the mouse key stroke and say build a menu like "File -> Save".
How can I try for the same on my MS Visual Studio?
That depends on your version of MSVC++, the paid version will have MFC to make the tasks simpler and online MSDN Help that gives code samples etc. If you're using the free MSVC++ then you'd have to make do with Win32 API coding.
As an alternative, may suggest Qt? http://doc.qt.nokia.com/4.7/index.html
As a reference (that is, not something to learn from, but something to refer to) I have found the nutshell books to be pretty handy (i.e. "C++ In a Nutshell").