<p>For the most part, you just take whatever Visual Studio sets it for you as a default... I'm referring to the <a href="https://learn.microsoft.com/en-us/visualstudio/ide/build-actions?view=vs-2019" rel="noreferrer">BuildAction</a> property for each file selected in Solution Explorer. There are a number of options and it's difficult to know what each one of them will do.</p>

From the documentation:
The BuildAction property indicates
  what Visual Studio does with a file
  when a build is executed. BuildAction
  can have one of several values:
None - The file is not included in the
  project output group and is not
  compiled in the build process. An
  example is a text file that contains
  documentation, such as a Readme file.
Compile - The file is compiled into
  the build output. This setting is used
  for code files.
Content - The file is not compiled,
  but is included in the Content output
  group. For example, this setting is
  the default value for an .htm or other
  kind of Web file.
Embedded Resource - This file is
  embedded in the main project build
  output as a DLL or executable. It is
  typically used for resource files.