As above, make sure the solution explorer is showing, then you need to double click on the file name to open it in the code window..
By default MSVC I believe, save the last known state of which windows were open and which were closed in it IDE when it saves out solitions and projects etc... so when they are re-opened, the same windows that were last open will be re-opened, this is so that as a programmer working on possibly hundreds of files, productivity is increased if you dont need to spend 5 mins sorting through project folders etc to open the ones you are currently working on when you first sit down, so MSVC's IDE takes care of that for you..
I do think that by default aswell, when you create a new DarkGDK project using the wizards, it should be opening its main program file for you, if its not then maybe your options have it set not too(goto Tools->Options and have a look for the settings).
If you create the project using the wizards, and it wont compile/run, then I would suggest Un-installing the GDK, un-installing and re-installing the August 2007 directX SDK(one you need for GDK) and then re-installing the DarkGDK last of all(when installing them, try to let it put them in the default location, visual studio included), if you still cant compile projects after that, it means that something isnt in its default place and hasnt been setup by the installer, so you will need to setup your Visual Studio project settings to point to the place where DarkGDK was installed and its libraries and headers manually.
If it ain't broke.... DONT FIX IT !!!