If you have a console-program, like the "Hello world"-program created by C::B's wizard, you have to run it from a console to see anything happen.
C::B starts "xterm" as default and runs it from there.
Or to be more exactly it uses "cb_console_runner" as helper-application, to keep the terminal-window opened until you hit the return-key.
What program or shell is used, is defined in "Settings -> Environment... -> General settings".
