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Why does C++ have header files and .cpp files?
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Because C, where the concept originated, is 30 years old, and back then, it was the only viable way to link together code from multiple files.
Today, it's an awful hack which totally destroys compilation time in C++, causes countless needless dependencies (because class definitions in a header file expose too much information about the implementation), and so on.
Because C++ inherited them from C. Unfortunately.
It's the preprocessor way of declaring interfaces. You put the interface (method declarations) into the header file, and the implementation into the cpp. Applications using your library only need to know the interface, which they can access through #include.