Three things are involved here. The tmh files are created by the WPP process (part of Tracing), and it appears WPP won't run if the C build doesn't complete (compile and/or link errors). Lastly, you will need include statements like #include "SourceFile.tmh" in your code. If a .C file includes both an A.h and A.tmh, then A.h should be first. If the C code finally builds, then WPP should run and create all the .tmh files. The next build should be clean, with no complains on missing .tmh files.

The WPP settings are located inside the project's properties dialog. A Visual Studio driver project will have a "Wpp Tracing" entry on the left. Go to that page, and make sure "Run Wpp Tracing" is turned on ("Yes").