Taking a wild quess as to what you mean by
Ive also noticed that g++ needs cpp files included explicitly (which was not necessary in MSVC++ 2010, oddly enough)
I guess that you mean that you had to type "g++ -c Testrun.cpp" (listing the source file for the compiler explicitly there) while in VS you just clicked a button to build.
Well, if you call the Visual Studio compiler (cl.exe) directly on the commandline on a Windows machine then you also have to explicitly list the files you want it to compile - no different than GCC.
The difference is probably that you are mixing up the direct invocation of the compiler (g++ in this case) and the invocation of a build system (Visual Studio/msbuild on Windows).
The thing is. On Windows:
Visual Studio creates "project files " which are XML files that describe what to build and how to build it (these can also be run by "msbuild" if you don't have Visual Studio but just the Windows SDK). The build system then invokes the compiler (cl.exe) with an explicit commandline, passing it options such as optimization level to use, what warning level to use, what source files to build etc etc - just like that g++ commandline you showed us.
On Linux:
You can have a build system too :-) If you prefer an IDE like Visual Studio then Qtcreator, Code::Block and Eclipse (with cdt) are common options that many people like. If you prefer to have more direct control, then you can use something like SCons, CMake or plain old make (these 3 have the advantage that if you have set your project up to build with either one then they can do a build from the same definition files on Windows, Linux, OS X and several other platforms - that's something you don't get with VS project files).
All of these do the same basic thing as what you are used to on Windows; they have some file(s) that describe what to build and how to build it and a way for you to tell them to "please do a build" and then they invoke the commandline compiler explicitly for each and every source file and passes it options.
(my personal preference is SCons)