While setting the parameters for setContentView, which XML has to be
  typed ? Content_main or Activity_main ?
You should use content_main.xml to put your views but pass 
activity_main.xml as the parameter to you setContentView() method.
activity_main.xml is used to display coordinatorLayout, tabLayout, floatingActionButton, viewPager etc.
content_main.xml is used to display your stuff i.e. what you want to display to users.
reference
And if I want to add an Layout file (XML) do I have to create 2 files
  with the same name ?
Totally depends on the nature of the activity you are creating the layout for. The difference above will help you decide whether you need two or one.