Does every file need to #include "stdafx.h" when using precompiled headers? Or do only source files need to include it.
EDIT: Also, my precompiled header file #includes a lot of STL headers. But, in my headers, I sometimes have functions that return std::vector or something like that, so I need to #include <vector> anyway. Is this worse than including stdafx.h? I need to include the definitions for my unit testing framework.
Every source file needs to include it before any non-comment line. Headers do not need to include it, as every source file will include it before any other header.
You can set whether you want to use a precompiled header file or not at the project level or a file level. For the project setting, go to project properties dialog and click Configuration Properties / C/C++ / Precompiled Headers. There is an option for Create/Use Precompiled Header. You can overwrite the project level setting on each .cpp file by setting the same option on file properties dialog.
All you C/C++ files need to have your precompiled header at the top yes - if it set for that project. But you can have it turned off/on per C/C++ file (what Kei said).
If you have standard headers to include, place them all in the precompiled header. Then you want need them in the normal header (.h) files. As long as all projects and files are using precompiled headers.
As other have said, only your source files need to include the precompiled header. I would only add that, in my opinion, code should compile correctly with or without precompiled headers. To achieve this, headers should be self contained and not rely on the source files including other required headers. I see precompiled header only as a way to speed up the compilation and not as a repository of all used headers in a project.