Hi Bob,
There is no order. As long as you have a C++ project with a name that matches the folder it is located in and there is also a .ino with the same name in the same folder then you have a valid Arduino/VisualMicro project. The Visual Micro "new project" and "open project" simple help you achieve this more easily.
Invalid source file You should click the "Show all files" mini icon on the tool bar above the "Solution Explorer". Then you will more easily see missing files. I will try to add better messages if files are missing.
In your project called HC-SR04 you have two .ino files and two .h files.
The main source is HC-SR04.ino and you can see the source code for it when you edit it.
The other .ino is called HC_SR04.ino and it does not exist. When you click to edit HC_SR04.ino you will see a visual studio error telling you it can't be found. Switching on all files also gives clearer indication in the solution explorer with a small yellow exclamation mark.
Potentially confusing LCD.h header file name Another potential problem is that you have created a file called LCD.h. There is usually an Arduino library with a header called LCD.h This conflict will lead to issues either now or in the future.
Unless of course your plan is to use part of the LCD library but override the LCD.h I think that would still be an issue.
How to include the arduino core and ensure single compilation of headers You should use the Visual Micro "right click solution explorer project>add new" to add a new cpp and h to you project. You will see the visual micro icon against the visual micro "new" options. Doing so will allow you to see how to include the arduino core in your .h header files. For example I just created a cpp/h called "Test" and this is what Visual Micro put in the header. It includes the right arduino based on version and ensures the header is compiled just once.
#ifndef _TEST_h
#define _TEST_h
#if defined(ARDUINO) && ARDUINO >= 100
#include "arduino.h"
#else
#include "WProgram.h"
#endif
//put your header code here
#endif
How to rename a project Right click the "project_name.ino" and click "Rename". You should be prompted to rename the Arduino project which involves renaming the project, the containing folder and the .ino. The project at its new location is re-added to the solution. You can also do this manually, .sln files can be edited with notepad.