Yeah, I had this problem also. Try to find the setup file you downloaded.
If it is called codeblocks-8.02-setup.exe, then you downloaded the version without a compiler or debugger.
Try the version codeblocks-8.02.mingwsetup.exe, this was made with a compiler and debugger already included.
If you download that version and still dont see the program compiling go to Settings>> Compiler and Debugger>> Global Compiler Settings>> Other Settings and under compiler log select full command line
That should show any errors in your program that prevent it from compiling
And the program automatically makes an .exe file in the same folder you saved your Source C file when you compile and run it.