How are a games files put together?

How code is written and integrated is usually done with CVS. It's pretty much as you'd guess. On a typical online team, the process might go something like this:

All code located on some server
Create code and add it to code repository
Debug code in repository

Essentially, all the code in the repository should be compilable. No code is written until everyone agrees on what to write first. This is done very vaguely though:

guy1: "I'll start making the wav loader"
guy2: "Ill start abstracting windows away"

i.e. there is no real planning involved, you have to keep an eye out on how others are coding and then make sure your formats match. For example if I create teh animation library, or just the key framed animation part, then Ill hae to get in touch with whoever did the math library and ask him how he will format his matrices/vectors - or more often, you can't work on the animation unless the math lib is done. The teams always do start with the basics though.

With CVS, all commited code is theoretically supposed to be in a consistent state. So you'd download whatever is on the cvs server - and it'd compile. You'd then go about adding stuff and editing stuff and what have you. When your work is done, and everything is compiling again, you commit all the data you added/edited. So your "guess" is theoreticalyl correct :)