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".
 Or "Debug -> Start without Debugging" (but you may need to add this option to the menu via "Tools -> Customise" first).
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
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