If your program is a UI (Windows Forms, Console or WPF) project, it is created 
as soon as you click start when you BUILD your project. 
This will produce an EXECUTABLE ( The .EXE file )
  
You can find it in the Bin folder of your solutions. 
(depending on the version you have also to save the project first)

In other cases you cannot build an Exe file but get a DLL,
for instance in the case of a Dynamic Link Library.