No, your book don't tell you that. You'll want to check it again carefully.
1) the CPlayer class definition should be in the H file, not in the CPP file.
2) "extern CPlayer player;" should also be in the H file, after the class definition.
3) the CPP file should contain
#include "Player.h"CPlayer player;
4) you'll probably need to add the correct includes to the player.h file - if you don't, then both CSpriteBase and CSprite will be undefined, and your code will not compile.
There is an article somewhere on gamedev.net that deal with code management - the C++ "where to put why".
Hélas I'm unable to find it tonight.
I'm incredibly slow. The article I cited is Kylotan's one, of course.
HTH