Since http://www.smorgasbordet.com/pellesc/ seems to be offline, you can find the Download of Pelles C here in this Forum.
You mean a header file?May be your problem is, that only local header files are included in the project file list. And even the local header files are listed only if they where referenced by one or more source files.
In the Pelles C IDE click File>New>Source Code.You will see a new source tab open labeled "untitled".With this tab selected in the Pelles C IDE click File>Save as...You will see the Save As dialog. Select "Include file (*h) from the "Save as type" drop-down and enter a file name and save.To see the file in the project tree do the following: In your C source file type #include "[filename].h" and then in the project tree right click on the project icon and select "update all dependencies".You will now see the include file you created there.