To create a lib called test ...

Create a folder called "test" under myDocuments\Arduino\Libraries

Then add a test.h to the folder and you have a legal Arduino library, which will then work with a simple #include "test.h" 

The test library will also show on "project>add/import sketch library" menu

When you add new libraries you can click "tools>visual micro>reload toolchains" to force visual micro to know about the lib without restarting the ide.

Optionally, you can then also click "Project>Show all sketch files" to have the lib sources made visible in the current project

Tim