What is the best way to create an .exe file

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but can anyone let me know what the best way is please ?

Yes, the best way to do that is to build the project.

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I have tried to run the code using Visual Studio 2015, but it kept giving me several errors although it works perfectly find when i run it with Visual C++6.

You would definitely need to have the project built. The errors are there to tell you what you need to do. The program written in the Visual C++ 6 might have some standard issues with the Visual C++ version you are using right now, or they might have been marked obsolete based on, security issues, or something.

Provided you did not share the code, there is less we can help you with. But in most cases, it is better to build the project using Visual C++ 6.