VS combines all .cpp files into a single executable per project. So if you want each .cpp to be a separate executable but you still want to use VS then you'll need to create a separate project for each .cpp file.
If you are just using VS as the editor but are fine building from the command line then you can use the command line to select the .cpp file(s) to build into a single executable. Behind the scenes this is what VS does, it just gets the list of .cpp files the project.
A final option, but not one I recommend, is to have a single project and then include/exclude the .cpp files that you want in the binary. This is harder to manage and can be very confusing if you come back to it later but it works.