Yes, the only files created at this point in the tutorial, are the index.php, and style.css. No other wp files.
I had been following the code from beginning, and sometimes in the last video or so (top level navigation), he was making changes to his css and was seeing the changes in his browser (working on localhost, which I am not). Then at some point I lost the link to my css, and he carried on, still linking to his css.
(I did realize that a wp theme needs more files, I just expected to be able to follow the code in the tutorial, with my files behaving in the same manner as the tutor's)