I guess lesson1.cpp is the fragmented file described on the link itself. I will ask someone to put a download link to the file to ease beginners.
/fehello_world.exe is visual studio's way to give a name to the exe that should be generated after compiling the code. So you should not worry about it.
As you have already installed APP SDK, you can directly look at HelloWorld sample in AMDAPP/samples/opencl/cl/app/HelloWorld folder. Corresponding Pre-build exe is present in AMDAPP/samples/opencl/bin/.
Hope that helps.