The Headers are in the filter “Public” and the Cpp’s in the Filter “Private” (or vice versa :D)
And the SLN is in the project folder, has to be something like this C:\Users\YOUR USER NAME\Documents\Unreal Projects\StrategyGame
Thats because you first have to create the SLN File. Open up the .uproject file. Than in most left the drop down menue select “Open up Visual Studio” (or something like this, I am not at the PC right now) and it will create the SLN and the project for you, when It isn’t already created.
Edit: Oh cool, I just found out that you just have to right-click on the .uproject file and then select “Generate Visual Studio Files”