In VC++ I have some libraries added in the "VC++ directories" section. When I select a class identifier from any of these libraries and press Alt+G I always end up in the header file.
You can verify this easily with MFC: CArray a; a.Get|Size(); // Alt+G
Once you have arrived at the declaration for GetSize(), if you press alt-g what happens?
For me, using VS2005 and VA 1646, nothing happens. It seems VA does not know where the implementation lives. Either the directory holding the cpp file is not in a directory that VA has been told about, or the implementation is not even provided. If the implementation is only present inside a dll then there is no cpp file to jump to.