That file will be generated by the message compiler. Now add a custom build step to run the message compiler:

Right-click on messages.mc and select Properties.

In the Properties dialog set Configuration to "All Configurations".

Under "Configuration Properties" click on "General".

Ensure the "Excluded From Build" property is set to "No".

Set the "Item Type" property to "Custom Build Tool" from the drop-down menu and click the "Apply" button so the "Custom Build Tool" property will appear.

Click on "General" under the "Custom Build Tool" property.

Set the "Command Line" property to:

mc %(FullPath)

Set the Description property to something like "Compiling Messages..."

Set Outputs property to:

%(Filename).rc;%(Filename).h;MSG0409.bin

The file MSG00409.bin is from having the following line in messages.mc:

LanguageNames = (English=0x409:MSG00409)