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You need to BUILD your project. This will produce an EXECUTABLE ( The .EXE file you mentioned), assuming you created the project with the correct type.
Right click on your solution in Solution Explorer in VIsual Studio and select Build. Go to the bin folder under your project folder and look for the EXE.
See where that takes you and let me know. I will be happy to help you through these first steps.
If I may say, this is really basic knowledge you are asking about. I suggest you do a quick search on google about .NET programming to familiarize yourself with these concepts. Let me know if you have trouble finding literature and I'll dig something for you.