"Add files to a project" - the nonVC alternative?

I'm new to compiling, so this is sorta noobish...

I'm using MingW/MYSYS to compile my project files. However, I came across some code snippets requiring you to 'add' the given files to your 'project'. I've never worked with Visual C++ before (nor do i plan to until i save up enough $$$, which is like maybe another year). What can I do that would be the equivalent of 'adding' files to my 'project'?

thanks!