How to link multiple .cpp files in Code::Blocks for a single project?

While following the book C++ For Dummies, I have three files in my CodeBlocks project, main.cpp, Pen.h, and Pen.cpp. They look like this:

main.cpp:

#include <iostream>
#include "Pen.h"
//#include "Pen.cpp"

using namespace std;

int main()
{
    Pen MyPen = Pen();
    MyPen.test();
}

Pen.h:

#ifndef PEN_H_INCLUDED
#define PEN_H_INCLUDED

//#include "Pen.cpp" // Uncommenting this gives a different error

using namespace std;

class Pen
{
public:
    // attributes omitted

    // PROTOTYPES:
    // other functions omitted
    void test();
};

#endif // PEN_H_INCLUDED

Pen.cpp:

#include <iostream>
#include "Pen.h"

using namespace std;

//other function definitions omitted

void Pen::test()
{
    cout << "Test successful." << endl;
}

When I run the code as listed above, I get an "undefined reference to `Pen::test()'" error. To fix this, I changed the #include statements at the top of main.cpp to:

#include <iostream>
//#include "Pen.h"
#include "Pen.cpp"

This works as intended and correctly prints out "Test successful."

My question is this: what in the world is the point of putting a function prototype in a header file if I have to import the .cpp file later on anyways?

EDIT: It turns out this was a problem with not knowing how to use Code::Blocks rather than with the C++ language.

Assuming you're using gcc, you can compile and link in one step by supplying multiple .cpp files via the command line.

g++ Pen.cpp main.cpp

clang should be similar.

clang++ Pen.cpp main.cpp

An #include should never reference a .cpp file. At all. There's no good reason to do it. Include your headers and then supply the names of all .cpp files when you compile. If your project gets big and you have too many .cpp files to reasonably list, then it's time to break out a makefile or similar.

In the main.cpp include the header file:
#include "Pen.h"

The Pen.h file it's ok.

You need to add the Pen.cpp file to the project tree.
Go to Project -> Add files... and add Pen.cpp