Currently Being ModeratedJan 30, 2013 3:59 PM (in response to allensso11)
Press Cmd+R -- that's "Run", in XCode. It will build your application and then run it. Or, taking your question literally, to only build it, press Cmd+B.
If you don't have XCode, download it from the App Store -- it's free for Lion. From the App Store:
Xcode provides everything developers need to create great applications for Mac, iPhone, and iPad.
-- actually not everything, you have to supply a brain.