- Enable "Show All Files".
- Create a new empty folder in project folder - this shows up as a disk folder in solution explorer, with a ghosted dotted outline folder icon.
- Right-click that disk folder and do "Add new item".
The newly added item will show up as a project file (solid icon), and will be a child of the disk folder, but the folder still shows the same ghosted icon. However, if you close the project & reopen it, the folder now shows a regular project folder icon.
Other ways to repro it are by copy-pasting a project file into a disk folder, or by drag & drop of the same.