"make a program" means "build a project". Use these items in the #D menu, or take a look at the keyboard shortcuts at:
http://wiki.sharpdevelop.net/KeyboardShortcuts.ashx#09
Additionally, you can decide by project's options (right-click at the project's name) whether to build as library (dll) or as application (exe).
If this answer doesn't help, you have to give more explanations about your problem. Juergen