In VSD (Visual Site Designer) the styles are in the header, then throughout the body, tags refer to the css.
There is no way to take control of the CSS in VSD. There is also no separate .css file generated.
To import styles or design your own and save as .css, you need to use HTML Editor.
VSD is really aimed at people who want design without code, so there is no emphasis on the user altering the code. There are options to add html code yourself and you can add meta descriptions & keywords etc. as well as implement flash and other things such as iframes. But at a basic level, it's a very handy program for the novice.
If you need power, control and true customisation, The HTML Editor is the one to go for.
Also, if responsive design interests you (the ability to transform your web site depending upon the device viewing it) then the only solution is HTML Editor as VSD does not offer any responsive tools at present. Responsive web design is the way forward as so many people now use tablets and phones to browse, buy and interact on-line. See http://en.wikipedia.org/wiki/Responsive_web_design if you're not sure what I'm talking about.
I would say that if you are familiar with html and css and you can write code, then the best gift you could award yourself is the HTML Editor.
VSD is not for people who want to write code. That said, I have both applications and I sometimes cheat by using VSD to design a layout and then open all the html files in HTML Editor and transform it into what I "really" want

Dave