the small blue arrow on the file in the Visual Studio solution explorer view means that the file is a link. That is, the file doesn’t belong to the C# project, but is referenced from somewhere else.
To create a link: right-click on the project, choose Add/Add Existing, browse to the file, then click the DOWN ARROW NEXT TO the Add button. There you can choose “Add as link”. Yes, this is one of Visual Studio’s best kept secrets.
Once you have added the file, open its file properties and make sure that the Build Action is set to Content and Copy to Output Directory is set to Copy if newer. This is actually the critical part; it doesn’t really matter if you add the file as a link or not.