Three stages are required to create an EXE from C-code gen

Stage 1 - Declaring project
Go to FILE
Select NEW
Select Project tab
Enter project name in box on top RHC
Pick on CONSOLE application
Select target directory (preferably not a directory with a name longer than 8 characters or with spaces, otherwise you cannot acces it via DOS)
Click on OK

Stage 2 - Inputing neccassary files
Go to PROJECT
Select ADD TO PROJECT, FILES
Using the browser
Select source code (generated from Code gen)
Select CG32.LIB or CGDLL32.LIB (for dll generation)
Select VISSIM32.LIB
These should be in the CG or VSDK LIB directories contained within VISSIM40 directory

Stage 3 - Set up project configuration settings
Go to PROJECT
Select SETTINGS ALT+F7
Click on C/C++
Select PREPROCESSOR from drop down window
In the Additonal Include directories box, specify path to the INCLUDE libraries
E.g.

C:\VISSIM40\VSDK\INCLUDE,C:\VISSIM40\CG\INCLUDE

Go back to the main settings box and click on the LINK tab
Under categories specify INPUT
Under ignore libraries enter LIBC.LIB
Click on the OK button

You are now in a position to add code to source code, when this is complete press BUILD

Select
File
Go to project
Select add to project
Select files
Use browser to select