A couple of words of advice, if you are using Vista install Studio outside of ProgramFiles, a lot of people have found vista interfers with the operations of Studio.

Later when you get more used to Studio you might want to use the content organizer but at the stat you will be better off turning it off for now. Get your content tab up (click view/tabs/content if it is not showing) click on the little arrow in the top right of the tab and select view files as tree.