Get the executable out of the release folder after compiling by pressing "F5" in MSVC++ 2008 Express. Make sure you have the media directory also included that has any images/models you have for your game. The name of this directory varies. If there is a lot of media that you do not want stolen, you may want to look into resource files or some form of compression/encryption.
Another nice touch is to get an install creator package and make an installer for you game. There are few out there, im sure there are demo versions you can pick up for free.
I also find it silly that you can code a whole working game in C++ and not know where the executable is saved or how to compile one...
Its just basic directory navigation...
One more thing, you may want to include the d3d dll file in the same directory as your executable. This will prevent errors some of your players will encounter. Im not sure of the exact file name of that DLL, but if someknow knows im sure they will be nice enough to post you a download link.
Good luck with your game and make sure to PM me a link if you ever get a package released!
www.Helios-Online.net