Yes, but it's a bit of a hassle - basically you need to edit the project file by hand.
Here's an example from a project that Marc Gravell and I both work on:
<Compile Include="Linq\Extensions\DataProducerExt.cs" />
<Compile Include="Linq\Extensions\DataProducerExt.SingleReturn.cs">
<DependentUpon>DataProducerExt.cs</DependentUpon>
</Compile>
<Compile Include="Linq\Extensions\DataProducerExt.Grouping.cs">
<DependentUpon>DataProducerExt.cs</DependentUpon>
</Compile>
<Compile Include="Linq\Extensions\DataProducerExt.Pipeline.cs">
<DependentUpon>DataProducerExt.cs</DependentUpon>
</Compile>
<Compile Include="Linq\Extensions\DataProducerExt.Conversion.cs">
<DependentUpon>DataProducerExt.cs</DependentUpon>
</Compile>
<Compile Include="Linq\Extensions\DataProducerExt.Math.cs">
<DependentUpon>DataProducerExt.cs</DependentUpon>
</Compile>
Note the "DependentUpon" element in each of the dependencies. This displays appropriately in VS, with DataProducerExt.cs as the parent.