The first task is to create a project. Visual Studio uses the concept of a 'solution' to hold one or more related projects. Unless you specify an existing solution when creating a project, a new one is created for you.
Choosing Windows Application is important because that will cause the program to use runw.exe instead of run.exe.
The project is created within a solution of the same name, and then opened, ready to edit. The next task is to add the supporting files to the project.