You press the BUILD button and OnlineGDB does the build for you and also runs the program. The executable is (most likely) created, however, it resides on the server and you cannot access it.
If you want the executable, you'll have to build it on your own PC/server.
There are plenty of Linux distributions (e.g. Ubuntu) you could download and install (even on a virtual machine). Or there are "live" Linux distributions (can be booted from a USB drive or optical disk).
On Windows, you can download CygWin that creates a Linux-line environment on Windows. Then you can look at this how to get the GNU C++ compiler (g++) on CygWin.
Or, you can download Microsoft Visual Studio Community Edition for free and use it as the IDE. This is the best choice if you want to work a lot on Windows with C/C++, C# languages. However, this needs the most download and installation time.
Furthermore, you can have a look at this thread. A similar question asked by someone else.