Easy Question - LINK2005 error

////////// main.cpp //////////

#include <iostream>
#include "try.cpp"
using namespace std;

int main()
{
    Num Try;
    return 0;
}

//////// try.cpp //////////
#include <iostream>

class Num{
 private:
  int number;
 public:
  void SetNumber(int);
 };

void SetNumber(int a)
 {
 }

///////////OUTPUT GENERATED//////////
------ Rebuild All started: Project: try_examples, Configuration:
Debug Win32 ------
Deleting intermediate and output files for project 'try_examples',
configuration 'Debug|Win32'
Compiling...
try.cpp
try_example.cpp
..\main.cpp(9) : warning C4101: 'Try' : unreferenced local variable
Generating Code...
Linking...
try.obj : error LNK2005: "void __cdecl SetNumber(int)" (?
SetNumber@@YAXH@Z) already defined in try_example.obj
try.obj : error LNK2005: "void __cdecl SetNumber(int)" (?SetNumber@@$
$FYAXH@Z) already defined in try_example.obj

try_examples - 3 error(s), 1 warning(s)
========== Rebuild All: 0 succeeded, 1 failed, 0 skipped ==========

This is a seriously simplified version of my problem so I'm hoping
that someone can give me an explanation as to what's going on here?
In particular the LNK2005 errors.

Thanks in advance!