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What exactly does #pragma , #ifdef , #ifndef , and #undef do?
They are all preprocessor directives, which are statements the compiler executes before compiling your program.
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How can you make your program change it's type of file, example, when finishing compiling, it creates an .exe, instead of .exe, how can I choose what type I want it to be instead of .exe. How?
I don't think you can. It seems to me that the whole purpose of compiling a program is to create a .exe file that you can execute. Why would you want to compile a program you didn't want to execute?