First of all you must decide: is it EA or indicator?
Because everything should be placed in different folders ...
This post will help you
http://www.forex-tsd.com/92940-post7.html
So, after placing your, let's say, EA in right foder you must open MetaEditor.
It is more good to open MetaEditor from MetaTrader.
I am having few copies of Metatrader in my PC so if I do not want to be confused about which MetaEditor for which Metatrader so I am openning MetaEditor from Metatrader: right mouse click on any indicator and select "Modify". MetaEditor will be opened.
Find your EA (or indicator) in MetaEditor.
Use this one:
12wwd.jpg
or this menu:
12wwd1.jpg
And open your EA (or indicator) and compile it. Just click on this one:
12wwd2.jpg
If you have any errors so you will see it here:
12wwd3.jpg
If no error so you can find your ex4. Do you remember the forder where you placed your EA or indicator?
This post
http://www.forex-tsd.com/92940-post7.html
So go to the same folder and you will find your ex4 file.
If you want to change your ex4? Do the same - compile the code and MetaEditor will generate new ex4.
Because Metatrader is using ex4 files.