singularity Dude. How can you hope to code for the Powder Toy if you don't even know the basics of what you're doing? Really this is beyond ridiculous.
Compiling is where you turn code into your app. It's a magic process.
Now there's to ways to do that (more but shadap). The first is 'debug mode'. The compiler adds lot of extra stuff and leaves nothing out so it can see what's happening inside the application and react to it. It's called debugging. It's to remove bugs.
The second mode is 'release mode' (that's what it's called in VS anyway). The compiler changes your code a bit to remove double stuff and just generally make everything faster. It's called optimizing and it's what you want. Don't click the green arrow, click Build > Build Solution in the menu's to use this (I suppose, didn't try though. In VS2010 there is a little dropdownbox next to the arrow, where you can select it. I forgot what it's like in VS2008, so someone else could tell you that.).