That usually means you are trying to run an app without having compiled/linked it into an EXE first...
Usually your IDE will auto-build your code if it has changed(or not been built yet), but sometimes the setting will get mucked up-Im not sure of the causes but there are numerous ways that I have managed to make VS lose its settings accidentally(painful when you have a solution with a large amount of projects that need to be re-configured manually and your last backup is pre-6hrs of work lol). You can change the setting by right-clicking on your solution in Visual Studio's solution explorer, selecting Configuration Properties and checking the box in the "build" column.
The above is assuming that you have installed Visual Studio Express 2008, DirectX August 07 SDK and DarkGDK in the correct manner.
If it ain't broke.... DONT FIX IT !!!