First, in VS.NET you have to create a C++ project, and then pick "Win32 Console Project"
Give it whatever name you want, then in "Application Settings", have it be a blank project.
Right click "Source Files" on the Solution Explorer, and then add a New or Existing item (if you don't have a source file already, add New and save it in the same directory as where VS.NET created the project, for ease).
Once you've got that created, go ahead and write your code. When you're done coding, go to the Build Menu and select "Build Solution" - then go find your application on the harddrive (should be in SOURCE_DIRECTORY\Debug\bin).
The reason you don't see anything like that in the screencap you posted is because Visual Studio needs to have a solution to build - you can't just point it at a random source file on the harddrive and tell it to go compile it. Until you're working on on a file in a solution, you're just using VS.NET as a pretty colored editor.
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