Yes, you don't get any wizards in S60 SDK 2.1. They did support the wizard once for VC6 (in SDK 1.x). What you can do is to copy Hello World example and modify it.
Another thing you can do is to download S60 SDK 2.2 and use the new wizard included in this version (called Application Wizard). It is a Java-based application, so you still won't get it integrated in VC++ IDE.