I just had this exact problem on Windows (when using a CB project created for Linux via CMake or Premake)
Message "it seems that this project has not been built yet"
1. Rebuild Project without the run option.
Build -> Rebuild (Control-F11)
2. Run the program
Build -> Run (Control-F10)
Click "No" on do you want to build it now.
Post the line from the "Build Log" that starts with "Checking for existence:"
The line when I had this problem on Windows
Checking for existence: E:\OpenSourceCode\Libs\GUI\wxWidgets\wxCode\wxsqlite3\bin\dll\release\minimal
Notice there is NOT an file extension after the "minimal" this is what caused the problem in my case.
Solution: Edit the project
Project -> Properties..
Tab: Build Targets
Verify this option is checked "Auto-generatate filename extension" for all the targets that can be ran.
Note, I seemed to have to save,close and reopen the project to get the problem to go away.
Tim S.