How do you use the "New files" and "New Directory" stuff in vex pro

I see that some people use more then just the main.cpp and I have no idea where to start or if I even want to.

I recommend splitting your code up into multiple files as it helps you stay organized, and you can find things faster without having to scroll through hundreds of lines of code. This forum post gives a great explanation of how to get started with multi-file projects.