Where did you added the main.cpp? A multitarget project consists of a "root" project (which you will make) and subprojects. The "root" project contains:
Qt Code: 
  1. TEMPLATE = subdirs
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and directives controlling the order or making the subprojects. Either the "depends" directives
Qt Code: 
  1. <build next>.depends = <build first>
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for example
Qt Code: 
  1. testapp.depends = library
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(more such directives can be present) or the "ordered" directive:
Qt Code: 
  1. CONFIG += ordered
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in the later case, the subprojects will be made in the order they have been added to the project. No SOURCES directive in the main project (see Chris post).

Supposing you are using Creator, do the following:
(1) Create the root project. It will contain only one line for now.
Qt Code: 
  1. TEMPLATE = subdirs
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Save.
(2) Add a subproject: Right-click the "root" project directory and select "Add Subproject". Select the name of the subproject (for example testapp). This will create a subdirectory "testapp". Create a profile for testapp. It must be testapp.pro, otherwise the profile won't be found. The testapp subproject is a "full sized" project containing sources (for example main.cpp) resources and other things.
(3) Add another subproject.
...
(4) Return to the root project and specify dependencies.
(5) Go to the configuration page of the Creator and select what it should make: Select "Run" and set the root project.