Basically, the only thing you have to do to make an executable is clicking 'Publish' on the tab 'File' in WED (I assume you have made a level with script). Then make sure 'Compile EXE' is on, and then click 'Ok'. Your executable will be created in a folder called 'project.cd', where project is the name of your level.

If this doesn't work, please give us some more information about your project.