As you click on build option the various processes occurs. the compilation and hex file generation are main process. the hex file willbe generated in the same folder where u saved ur project. to burn this hex file into ur controller u hav to use burning device which u have.
1.Insert the controller in the zif socket properly.
2.Next open the corresponding software of burning device.
3.browse the hex file.
4. click on write or burn icon.
if message appear the burn process complete. u can use ur controller in ur circuit.