Are you referring to do that on linux ?
Well, first of all there is no exe in linux, but there is always executable files, often called binary executable files.
For C
gcc <filename.c>
For C++
g++ <filename.cpp>
On both cases, on successful compilation produces an a.out file. This is your execulable. For executing,
./a.out
For Java
javac <fileName.java>
A successful compilation will produce java.class file. This is your java byte code. For executing JBC,
java <fileName.class>
For java, the compilation and running process is same in all OS. For C/C++ you may need to replace gcc/g++ with the curresponding compilers available for that OS. If you're using Windows and have a TC compiler
tc <filename.c> or tc <filename.cpp>
will produce filename.exe on successful compilation. to run it
filename.exe.
You can also use the TC IDE for building executables.(Ctrl + F9, if memory is correct).