You can use the Effects for Direct3D 11 library (aka FX11), but should keep in mind that the HLSL compiler support for is deprecated, support for it exists "as is" (i.e. there are some known bugs in the fx_5_0 profile that will not get fixed), and may be removed in a future update. You should use the GitHub version of the runtime library as it has a number of fixes that are not present in the legacy DirectX SDK version.
As to your original question, see What's the difference between an .fx and .hlsl file anyhow?
Frank Luna's Direct3D 11 book is a victim of it's timing. It was published just prior to the legacy DirectX SDK being deprecated. The basics of the book are great, but FX11, D3DX11, and XNAMath all have replacements that avoid using the legacy DirectX SDK. See Living without D3DX, Introducing DirectXMath, and Book Recommendations
Effects was always an optional system which made it easier to bind a group of related shaders and state based on a file format. You don't need Effects, and you can always compile the fx file multiple times for each permutation of the individual shaders and handle setting up all the related state yourself.
If you are new to Direct3D 11 development, you should take a look at DirectX Tool Kit and it's tutorials as it provides a number of 'stock' shaders which can get you a long way.