Making a shortcut or an exe file?

I have created a program using anjuta(Slackware), I have the .cc and .o files and I want to create sth like an exe file so it would complie and run the file.

EX: if click on the icon the program would run I dont have to go to my shell and type

./filename

How can I do that?

Thanks.

try right click on the icon, and select 'run in terminal' or something to that effect, it'll vary between window managers.

edit: by the way this: ./filename, is an executable

Well yeah its not but that’s how I run and execute my files.