In SlickEdit, it is very important to pick the correct project type when you create a new Project/Workspace (Project > New). For what you are trying to do, you can start with either the "Generic C/C++" project type or the "GNU C/C++ Wizard".
With these project types, you should easily be able to select the "Build with an auto-generated, auto-maintained makefile" on the Build tab. When you change that radio button, be sure to click "OK". It will make changes to the rest of the form that otherwise could cause problems. Yes, you will then need to reopen Project > Project Properties to make additional changes.
After creating the Project/Workspace, you can now add your files using Project > Project Properties and selecting the Files tab.
If this doesn't work, please let me know what kind of project type you created. You can attach your .vpw and .vpj files so I can try them. Do let me know if this helps.
--Scott