by going to File - Build Settings.

A build in development is a term used to describe

an exported executable form of your project.

And given Unity's multiplatform nature

this varies for each platform.

For webplayers Unity will export an HTML file

with example embedding code

and a .Unity 3D file which contains your game

and will be run by the Unity webplayer plug-in

in your browser.

For standalone Unity will export an executable version of your game

for PC, Mac and Linux.

For iOS Unity exports an Xcode project

that can be opened in Apple's Xcode SDK

and run on the device for testing

and submission to the app store.

For Android Unity exports an APK file

that can be opened in the Android SDK.

Flash exports an SWF file

associated assets,

and yet again an HTML file with example embedding code.

Google Native Client exports a Google Chrome browser

compatible webplayer game.

And for consoles Unity builds directly to your

hardware development kit.

The build settings work with Unity's player settings

to define settings for the build that you create.

Split in to cross-platform and per-platform

you can set some basic values at the top and then choose settings below

that are specific for the platform you are developing for.

One thing to note as a beginner

is that the resolution in the Resolution and Presentation area

is the setting you can select for the game view.

For details of other per-platform settings

refer to the manual link below.