Actually that's pretty simple... The process is explained in the Pelles C help file, which you should read.
1) Start a project... select your project type, give it the appropriate paths.
2) Add your source code to the project as you write it.
3) Compile your code using the "Build" or "Run" buttons on the tool bar.
4) Once you have it working correctly, run the program outside the IDE...
And voila one complete program...