Just download SCI Studio from here:
http://www.bripro.com/scistudio/And there is a template game included to start from, and if you check out that site there is a tutorial on how to make a basic test game.
And if you run into any problems just post and the people from this community will help you out with your problems.
As for making an .exe that's not possible in SCI Studio, and the .exe file that your download from that site is just an extraction file to extract the games most likely, not the game itself.
Also stop staring new topics, just reply to your previous ones.