simple C++ code linker error

Im trying to run a very simple snippet of code. I've been getting a linker error. My code looks like this:

main.cpp -->

#include <iostream>
#include "Complex.h"

using namespace std;

int main()
{
   Complex c1(1.0, 5.0);  // this should create Complex object 1.0 + i5.0
   return 0;
}

Complex.h -->

#include <iostream>

class Complex {
private:
    double real;
    double imaginary;

public:
    Complex(double, double);
    void setReal(double);
    void setImaginary(double);

};

Complex.cpp -->

#include "Complex.h"
#include <cmath>

Complex::Complex(double x, double y) {
    setReal(x);
    setImaginary(y);
}
void Complex::setReal(double x) {
    real = x;
}
void Complex::setImaginary(double x) {
    imaginary = x;
}

The error I've been getting looks like this:

I have been trying to run my main for a while but I keep getting the linker error. I have no clue what's causing it. I would appreciate any suggestions.