1. Go to Project->Project Properties, In General Tab make sure that your Project Type is Standard Exe. You can also change the Application Title, Icon, Version and Version Information in Make Tab.
2. If you sure to build it then go to File->Make Project.Exe, Save Dialog will appear to save your Exe File, default path is your project path.
3. Check after save the exe file. it already to run. Just it.
If you want to distribute your app to other people, you'll also need all the runtime DLL files. You might want to look at the VB Package and Deployment Wizard. It will guide you on how to package up your app for deployment. Navigate to All Programs->Microsoft Visual Basic 6.0->Microsoft Visual Basic 6.0 Tools->Package & Deployment Wizard.