If I am understanding your correctly, you just need click on the 'Compile' button at the lower right corner of the Greenfoot window.
You will need to get a compiler
You need Apache Ant and the JDK; the instructions for building are in greenfoot/doc/HOWTO.release (within the source bundle). I personally use Eclipse, which has Ant built-in; see the HOWTO.build-in-eclipse file.
Use "ant run-greenfoot" to run Greenfoot (or see Eclipse guide).
Be aware that Greenfoot is built on BlueJ. The source bundle includes the source for both BlueJ and Greenfoot. You need to configure and compile them separately.