You should have an executable program after compiling and linking. Simply compiling does not produce executable code. If you're staring at some .o files and wondering where your .exe is, then you forgot to link.
I'd strongly recommend using a compiler that's not fifteen years old, though. Visual Studio has free express editions you can download and use as much as you like. Do yourself a favor and stop using software that was designed for Windows 95. There's literally no good reason to do so.