The way that most Arduino libraries are written and used is that they are placed inside a folder (you could call it NXT). That folder contains the .cpp file and the .h file. It can also include a keywords.txt (a file for new datatypes, methods/functions, and new constants that your library has). It can also include an example folder with sketches that use your library.
This folder is placed in the arduino/libraries/ folder. Once you put the folder there you need to restart your Arduino IDE. After restarting the IDE you should be able to go to Sketch -> Import Library... and your new library NXT should be in the list of libraries. Seeing it in the list lets you know that the IDE can find your files. (you can click on the library name, but all it does is add the include line at the top of your sketch)