If you can't find the WMB file (of which has the same name as your WMP file), there's a good chance you have errors in the compilation. When you compile the map, you'll see something like:

"Critical error: region with too many portals"

or something like this at the end, but not neccessarily this error as this is meant as an example. If you do get errors, the WMB file will not be created. Warnings, however, are okay (such as "region leaking" or "block too big for shaded mode") and the WMB file should be created.