Is a macro different from a header file or are they the same?

Question

What I am confused about is if #define defines a header file or defines a macro. The article on SoloLearn about headers and source files says that it defines header files but a comment on the same article says otherwise.

Answer 1

Thank you. One more question if I may, #ifndef tells the preprocessor to check if the header/macro has already been defined or not. If it has not been defined the compiler continues on to the next line which is #define and defines the header. If it has been defined the compiler skips to #endif. This prevents the same header from being included twice.
Is all that correct?
Also, is this how we use #pragma once:

(1) Creating header file MyClass.h:-

#pragma once MYCLASS_H
#define MYCLASS_H

class myClass {
public:
myClass();
~myClass();
}

(2) Including MyClass.h in the source file MyClass.cpp:-

#include <iostream>
#include "MyClass.h"
using namespace std;

myClass::myClass() {
cout << "You just made an object." << endl;
}

myClass::~myClass() {
cout << "An object was destroyed." << endl;
}

int main() {
myClass obj;
return 0;
}

// Output is "An object was created."