You can go to this page and upload your file:
http://www.sourcemod.net/compiler.php
Or you can use your last downloaded set of folders for sourcemod and go to this folder:
\addons\sourcemod\scripting
There's a game piece symbol there called compile, you just drop your .sp file on it then after the cmd window closes (hopefully successfully), you can find the .smx file in the compiled folder in the same location.