If going through the link that Ashish had posted does not help you , then try this :

With the Keil eval version you get the Hello.uV2 project file. Just open this project and you will understand the structure of the project and where each of your source files have to be and how they are added to the project.

Keil has one of the best manuals to help you - read that from begining and upto the point where it tells you how to create a new project and add files to it. uVision2 Getting Started, uVision2 Users manual and C51 User's Guide are all there to help you. Read them.

Raghu