First go to File, on the top left corner of visual basics, then click Save All
It pops something up, but you can ignore that, just click OK.
Then, Debug your program.
Now go to your Documents:
My Documents > Visual Studio 2008 > Projects > the name of your program (as a folder) > the name of your program (as a folder) > Bin > Debug > name of your project.exe
Some times the .exe will need .dll files, like if you are making a IP Viewer, it would come with 2 .DLL files