I'm not positive, but if you put everything you wanted protected into a folder on say.. "C:\Protected" Inside there's a program called run.exe You should be able to create a shortcut whever you want to "c:\protected\run.exe" and the folder should decompress and execute the file. I'm not positive though!
If it is a C source file , then you need a C compiler to compile and make the file.
Get a C compiler (Turbo C, Turbo C++ , Borland C .....). Open the source with the compiler and you can compile and make 'exe' file with the software