Source file not compiled...

I am totally new to programing in C++, i am reading the tutorial where it gives the example:

// my first program in C++
#include <iostream>
using namespace std;
int main ()
{
cout << "Hello World!";
return 0;
}

I installed wxDec-C++ 6.10.2, then File => New => Source File ,witch opened a tab named "untitled1", i copy-pasted the code there, clicked Compile(save it on desktop with .cpp at the end), now the name of the tab is "untitled1.cpp" and when i click Run it gives the warning "Source file not compiled", can anyone help me?
I've never used that particular IDE myself, but it's probably one of those that doesn't let you compile unless it's a project.
Try compiling by creating a new project.

Also, once you've managed to run the program, you'll probably want to take a look at this: http://www.cplusplus.com/forum/beginner/1988/
do what helios said and create a project(win 32 console application), then make sure you build your solution. after you build it you should find a executable file in your directory
thanks for the advice, but can anyone tell me how to compile and execute the same example in Microsoft Visual C++ 2008 Express Edition???
create project(win 32 console application)
add item (.cpp file)
copy and paste your code
build project
run program
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