How to build "The main window" tutorial?

I have downloaded source code for tutorial of “The main window tutorial” but it doesn’t work.

There is no option of Build, how to build it?

PS: I am very beginner for JUCE.

You should read the previous tutorials, particularly this one: https://www.juce.com/doc/tutorial_new_projucer_project

Projects are exported to Xcode, Visual Studio, Android Studio… etc, projects, and you use one of those IDEs to compile your application.