It does create an exe but all of them (for all the examples) go to one directory. In my system (XP service pack 2), I did not install the SDK at the default location. Instead, I put it under C:\CUDA31\CudaSDK\ so the output directory is C:\CUDA31\CudaSDK\C\bin\win32\Debug. That directory also has the dll’s that are necessary to execute the program.
You can change the directory where Visual Studio outputs the exe in Project|(your example)Properties|Linker|General|Output File. But then, the dll’s will not be in the path. You can add them to the Path by right clicking on “My Computer” in Windows Explorer then selecting Properties|Advanced|Environment Variables and selecting Path in the bottom pane. Then edit, add a semicolon (;) and copy the directory path to the end, and save.
If you had a command line window open, close it and re-open it so it gets the updated path. Navigate to the directory where you placed the exe and it should execute.
What a PITA. The default directory in the examples should be the usual Debug dor that all other Visual Studio projects use.
If you do a search on google, it is common not to find the dll’s so I will add their names here so this post gets a google hit for this problem too.