I just checked on my Windows 10 system (Windows 10/64bit-Build 1586, latest end-user and Windows Insider version) and on my setup, the executable file gets very well created in the project folder where the source is.
But for some strange reason, which I did not notice when I made earlier tests with Windows 10, Windows is keeping "multiple" locks on the executable, preventing it from being executed. This must be something new with the latest updates, something as simple as this was working in earlier version. My best guess at this point is that the Windows Defender AV is somehow blocking it...
EDIT: Well, kind of confirmed my suspicion, though it was not Windows Defender, but I forgot I had installed Avast on it and it worked fine after I temporarily disabled it. But Windows10 is still holding a lock on the file, so you can't overwrite it when you compile it a second time. That could still be a Windows Defender issue, but won't have enough time to test this out tonight anymore...
Ralf