C# - Difference Between .edmx File And Creating An Entities.cs File?

I have looked at two of Microsoft's tutorials for MVC. In one tutorial they are creating a .edmx file to handle the Entity Framework in order to execute Linq queries. In another tutorial they made a class called "MusicStoreEntities.cs" here is the code:

using System.Data.Entity;
namespace MvcMusicStore.Models
{
public class MusicStoreEntities : DbContext
{
public DbSet<Album> Albums { get; set; }
public DbSet<Genre> Genres { get; set; }
public DbSet<Artist> Artists { get; set; }
public DbSet<Cart> Carts { get; set; }
public DbSet<Order> Orders { get; set; }
public DbSet<OrderDetail> OrderDetails { get; set; }
}
}

And the tutorial creates an instance of this class and starts doing Linq queries as well. What are the differences between these 2 methods? and how can I make DbSet objects in a .edmx file?