Aside from holding a bunch of files together, a project contains important information about what it means to "build" that project. Things like what the built program should be named, where it should go, where header files can be found, whether it needs debugging info and what optimization level it should undergo.
So the answer I think you're looking for is that one would typically create a project, even if it's just for one file. That's the norm for all IDEs I've used, anyway.
If an IDE you've used has a feature to "build and run whatever file is open", please let this forum know about it. It could become a feature.