You've tried to create an executable, without a main() function. Every C++ program needs a main(). main() is the entry point to your program, the OS runs your program, by calling main().
You can compile your program without linking, i.e without trying to create a final executable, if you just want to check that your code will compile.
I'm not familiar with VisualStudio these days, but you should be able to right click on a file or find an option in the menu that's just "compile" rather than "build", but I'm just guessing wildly.
If you really must use the full build commands, then add a main() function, even if it's just a stub.
Also, I suggest not to do "using namespace std;" in your header file, but instead fully qualify every use of string like so std::string. When you get to the cpp file, you already have "using namespace std;" so you can drop the std:: prefix.
You have a stray semi-colon at the end of your class definition:
; };// end class GradeBook
And finally, remember to use code tags when posting, to make your code easier to read.