This lookup works by asking the project for the list. If you open a C file which CW cannot accociate with a project, you get this "Not a project file". Maybe it should read "this file is not part of any currently open project", but this may be a bit long.
So - open your project - add it to your project - you can also jump to header files by selecting the filename in the #include line, and press Ctrl-D (or the "Find and Open File..." context menu)) - there is a special shortcut to jump between header and implementation file, look it up in Edit->Command and Keybindings ->Miscellaneous->Go to header/source file. (the default keybinding for it does work fine on US keyboards, but not on my local one here. So I do usually change it locally)