I was also wondering how to do this.
I tried building the particles explosion example in VSC++ 2010 Express. There were a bunch of warnings, but they were all ignored and the build was successful. In the window where the warnings are displayed was also displayed where to find the .exe file, which was in C:\Program Files\The Game Creators\AGK\Projects\Native\Windows_VS2010\Final.
The .exe was in there, I moved it to a folder on the desktop, and I also moved the two .png files the program uses, and it ran perfectly.
There were over 100 files in there, some related to the particle explosion program, and a bunch of others, I guess from my other build attempts. So I deleted the "final" folder and built the project again, this time there were only 17 items in the folder, all having to do with the particle explosion project.
So, it worked for me, and I've never used VSC++ 2010 before!