Christoph,
MyEclipe IDE is a little different from Visual Studio. To add a new file to your project, right click on your project and from the context menu select New > File or select New > Other which will open a new window listing out the various types of files you can create. You can use the filter to narrow down your search options. After you choose the file, the wizard will guide you through the process.
This functionality is also available from the menu option File > New > Other.
Let me know if that helps.