HOW TO CREAT PROJECT EXE

I install codeblock with IDE, i want to work on this project( http://www.tightvnc.com/download.php ) but i dont know how to make single exe or setup file of this source code project??
when i click on compile and build button it used to give me errors that header files are not find!!!
as far as i understand its compiling and building single file of the project not compiling and building whole project!!!
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