Fatal Error C1010 when adding XZip to MFC Project

I created a MFC project with Visual C++. I understand that I can apply XZip with my created MFC project since it is a Win32 program. But when I attempt to add XZip.cpp in it, I received a “Fatal Error C1010: Unexpected end of file while looking for precompiled header directive.” I have tried to change the settings for precompiled headers in C++ but still get the same error. How can I fix this?
