On the right side of the IDE, there's a little down arrow button. If you click it, you can add another file. I believe files without any extension (Like "foo" not "foo.cpp" or "foo.txt") will simply get added on to the bottom of your main sketch when it compiles.
If the extension is ".h" then you have to "#include" it, and if it's ".c" or ".cpp" it gets compiled separately. Don't worry about those too much.