Sounds like you are using Microsoft Visual C++. If that is the case, then the most possibility is that you don't compile your two.cpp with one.cpp (one.cpp is the implementation for one.h).
If you are from command line (cmd.exe), then try this first: cl -o two.exe one.cpp two.cpp
If you are from IDE, right click on the project name from Solution Explore. Then choose Add, Existing Item.... Add one.cpp into your project.