One of two things or both
1 - I am being retarded
or
2 - I don't know what I am doing.
I think you are missing option 3:
3 - I need an IDE which will make me able to compile those files into exe :D
if you use linux download codeblocks or netbeans
or download visual studio express if ur under windows.
then just create an new project and include those files, then press "build" or "compile" button in your IDE ( IDE stands for integrated development enviroinment )