.sln is your solution file. A solution is basically a group of projects. This tells msvs what project(s) belong in this solution.
.vcxproj is your project file. A project is a group of source files that get built into a common binary. Typically 1 project gets compiled to 1 exe. This file tells msvs which source (cpp) files are used when compiling this exe.
.filters is an organizational file. Each project in has several folders in msvs's sidebar view (the default folders are "Source Files", "Header Files", "Resource Files"). The .filters file contains information about which of those folders exist and what files are in each of them.
.sdf file is intellisence file's data base created after you open the solution for one time, previously it was (.ncb)
.users are file that saves setting of the changes made by each user of that computer or other, So it show's user specific property settings.