Compiler say:students isn't the name of the class or of the namespace. And it say that "name" is undeclared .
students.cpp:
    #include "stdafx.h"
#include <string>
#include "students.h"
using namespace std;
    void students::set_name(string student_name)
    {
        name = student_name;
    }
students.h:
#pragma once
#include <string>
#include "students.cpp"
using namespace std;
class students
{   public:
            void set_name(string student_name); 
    private:
            string name;
};
main.cpp
#include "stdafx.h"
#include <iostream>
#include <cstdlib>
#include <string>
#include "students.h"
#include "students.cpp"
using namespace std;  
    int main()
    {
        students *student = new students;
        std::string name;
        std::cout << "Name: ";
        getline(std::cin, name);
        student->set_name(name);
        delete student;
        system("pause");
        return 0;
    }
update: after i've removed " #include "students.cpp" " i got:
 1>students.obj : error LNK2005: "public: void __thiscall students::set_name(class std::basic_string<char,struct std::char_traits<char>,class std::allocator<char> >)" (?set_name@students@@QAEXV?$basic_string@DU?$char_traits@D@std@@V?$allocator@D@2@@std@@@Z) уже определен в main.obj
 
     
     
     
    