If you are just trying to make a command-line program using traditional C++, rather than a Windows application, under the IDE then all you need to is create a new project (File menu), and, under the C++ options, select "C++ Console Application".
By default, this will create a new project with boiler plate code for a "main" function. That will be a good starting point.
If you have existing code you want to try and compile, follow the same route, but in the Wizard dialogs select to create an empty project - this will have no boilerplate code. You can then use the Solution Explorer to add files (right-click on the project name) to the project.
Options to compile the project into an EXE are available under the "Project" menu. "Build All" will build all the files in the current project. This will result in an .exe in the "Debug" subdirectory of your project (if you're compiling a debug build - the default).
Hope this helps.