c::b is build to use projects as smallest build unit (not 100%, the smallest build unit are targets, but this does not chance the handling)
So the "normal" and easiest approach would be to create a new project for every executable you want to create (this would save you from a lot trouble with debugging for example)
A second approach, what needs a bit more work (and i would be to lazy, because it is to easy create new projects) is to use build targets:
1) Create a project
2) Add your first source file for your first program
3) build and run and test it
if you want to add a second executable to your project follow this steps:
4) File->New->Build Target
5) Coose "console" click "go"
6) Hit next on the intro page
7) Coose a name for your build target(program) and fill it in "Build target Name"
7a) if you want to debug your program enable the "Enable debugging symbols for this target" checkbox

"finish"
9) File-> New->File...
10) your appropriate file (c or c++)
11) next
12) choose c or c++
13) Fill the filename with full path (use the ... button)
14) Select the target you have created earlier in step 7)
15) finish
now you can use the second file for your second program.
to build it choose in the drop down menu near the build controls in the toolbar your target name
if you get the error (i got this every time i add a new target, and this is a bug in c::b i should add to the bug tracker):
multiple definition of `main'|
you have to check that only one of your main source files in enabled per target.
To do so:
1) Projects->Properties->Build Targets
2) Click on the right every target and check in the "Build target files" box in the right bottom corner that there is only one file selected per target.
As you can see using targets is a lot more complicated than creating a new project per executable...
There is also a third approach that only uses files, but i don't know the exact steps to reproduce it, and you also will get trouble when you start to using the debugger (we have 100 of posts in this forum of people who have problems because they are using only files and not projects or targets for they builds)
i hope this helps.
maybe i add this to the wikigreetings
[edit] ps. Sourceforge is still down so i probably will forget to add or fix this bug...