Doubts about "linkage"

I tried to pass to IDE a code I found in a book and some doubts came up.

Code:

newApplication.cpp

#include "stdafx.h"
#include <iostream>
using std::cout;
using std::endl;

#include "GradeBook.h"

int main()
{
    GradeBook gradeBook1("CS101 Introduction to C++ Programming");
    GradeBook gradeBook2("CS102 Data Structures in C++");

    cout << "gradeBook1 created for course: " << gradeBook1.getCourseName()
         << "\ngradeBook2 created for course: " << gradeBook2.getCourseName()
         << endl;
    return 0;
}

GradeBook.h

#pragma once
#include <string>
using std::string;

class GradeBook
{
public:
    GradeBook(string name);
    void setCourseName(string name);
    string getCourseName();
    void displayMessage();

private:
    string courseName;
};

GradeBook.cpp

#include "stdafx.h"
#include <iostream>
using std::cout;
using std::endl;

#include "GradeBook.h"

GradeBook::GradeBook(string name)
{
    setCourseName(name);
}

void GradeBook::setCourseName(string name)
{
    courseName = name;
}

string GradeBook::getCourseName()
{
    return courseName;
}

void GradeBook::displayMessage()
{
    cout << "Welcome to the grade book for\n" << getCourseName() << "!" << endl;
}

1) How does the compiler "know" that the method implementation is in GradeBook.cpp and that in main() there is only the GradeBook.h ?

2) The application only worked after I included #include "stdafx.h" in the file GradeBook.cpp . Why does it happen?

Visual Studio 2017 folder structure

-Dependencias Externas
-Arquivos de Cabeçalho
  *GradeBook.cpp
  *GradeBook.h
  *resource.h
  *stdafx.h
  *targetver.h
-Arquivos de Origem
 *newApplication.cpp
 *stdafx.cpp
-Arquivos de Recurso
 *newApplication.rc