It's an Arduino thing

Visual Micro allows you to create and open projects using standard visual studio commands such as "File>New>Project" or using Visual Micro commands such as File>Open Arduino Project".

The Visual Studio commands use the standard Visual Studio tools>options settings.

The Visual Micro commands use the standard Arduino settings.

In the Arduino word there is something called a sketch book folder. It default to mydocuments\arduino. In the arduino ide the file menu uses the sketch book folder so it's normally where arduino ide users have saved their sketches/projects.

You can change this location but be aware that when you download and install libraries they are located in sketchbook\libraries and some custom hardware will be located in sketchbook\hardware. Bear this in mind and move/copy the folders if you change the location of the sketch book folder.

Visual Micro provides the option to change the sketchbook location in the ide Configuration/Location window (see below). The arduino has the setting in the File>Preferences window.

It is recommended to use the standard "File>Open>Project" and "File>New>Project" menu item to open arduino projects whenever possible. The projects will then appear in the visual studio recent projects lists and be easier to open.

http://www.visualmicro.com/page/User-Guide.aspx?doc=First-steps.html
Change the sketchbook location but understand the impact first.

That's strange. You should see the visual micro logo under the c++ section with an arduino project option and also c++\visual micro with the same and a few extras.

Which version of visual studio are you using?