How do I make an EXE out of a C code?

using Microsoft visual C++ 2010. THX.

I made it.
if anyone interested - I changed the DEBUG to RELEASE then I could find the exe file in my software folders.

You goto build -> build solution.
Your EXE will typically end up in your project folder\debug or your project folder\release.
Compile in release mode when sending it to others to make sure they can run it on their computer.
Debug is good when testing your program.

That's called compiling, for future reference ;)

Look for the button with a gear and play arrow on it. It's "Build and Run", you can press it for instant gratification. It will build your program and run it all in one step.

To add to what Babkockdood said: it's called compiling when you make some sort of code with a compiler, but there's usually a linker that gets ran behind the scenes to turn almost ready to run code into an executable. The second step is called linking. Compiling and linking together can be called building.