That's because you created a Web Site instead of a Web Application. The cs/vb files can only be seen in a Web Application, but in a website you can't have a separate cs/vb file.
Edit: In the website you can add a cs file behavior like..
<%@ Application CodeFile="Global.asax.cs" Inherits="ApplicationName.MyApplication" Language="C#" %>
~/Global.asax.cs:
namespace ApplicationName
{
public partial class MyApplication : System.Web.HttpApplication
{
protected void Application_Start()
{
}
}
}