You start your program (after it has been sucessfully compiled of course) with the shortcut keys Ctrl+F5. Or you can use the corresponding menu entry in the "Compiler" menu: "Execute <program name>".
The program will be started at the directory indicated in the "Debugger" configuration tab of the system configuration option. There, the entry "Start directory" will be used. You can change there too the arguments that will be passed to the program.
Note that this option is not available when you make a library (dll or static library).
Alternatively you can start the execution of the program under the debugger with F5. The same parameters are used, but the debugger stops the program at its entry point.