"Ctrl+Shift+n" creates an empty file, you get an dialog that asks whether you want the file to be added to the project, in next step you can chose a name (with ending) and then add it to any target in the project you want.
I don't know what VS does, if you press "Ctrl+N", but I guess you have to chose filename and type also, and probably the solution you want it to be added to.