Ok when you publish your game, have you checked the content of the publish dialog/ process? AFAIR it normally lists that your *.exe has been generated, too.
It's unlikely but have you tried to deactivate your anti virus program? Maybe it deletes the *.exe file on creation.
"Falls das Resultat nicht einfach nur dermassen gut aussieht, sollten Sie nochmal von vorn anfangen..." - Manual
