As Jens has already said, compiling and running does indeed work for single files. It's very useful for educational type programs, which are typically short but numerous and it would be an inconvenience to have to create a new project for each one. And it would be nice to have code completion, opening header files and debugging (as Jens noticed, and I agree) working for single files.
I am using the latest stable version. Steps to reproduce? Well, open a hello world .cpp and try to right click and open <iostream>. Also notice that code completion for standard library classes doesn't work, and that the debugging commands are grayed out.