Once you've written a .c file you have to compile it.
$ gcc -Wall hello.c -o hello
-Wall will show you errors if there are any, -o means to compile the .c file to an executable, and "hello" is the program name.
You can also compile everything to object files first with -c instead of -o. and then compile those .o files to machine code using -c.
It's all in here: http://www.network-theory.co.uk/docs/gccintro/
If you're on linux you can use $ ./hello to run this program.