When it comes to creating or adding a C++ class into your game, there are lots of ways you can do it. From the File menu you can choose New C++ Class. However, the most common method is by just clicking on the big Add New button in your content browser and selecting New C++ Class.
Using either way will add the new class into your
Source folder (revise the project directory structure in Chapter 1, Preparing for a Big Project) of your project.
By default, all C++ game projects will have a slightly different project structure, but most importantly, you will clearly see a section called C++ Classes in the outliner of the content ...