The CPP target is the youngest in the haXe world and so still a little rough on the edges; add in more complexity because it depends on external tools to properly work.
Made that premise, try to create a new haXe/CPP project in FlashDevelop, open the Main class and add a simple trace("hello world!");
line. Hit F5 to start the "compile and run" process.
You'll see in the status bar the message "Build started ..." and you can follow the process looking at the "Output Panel". If your environment is set correctly it will compile the whole project and open a DOS window where it will execute the generated executable (you can find it in the bin
folder).
If you receive an error then your environment is not yet ready to build CPP applications with haXe. To fix that follow the setup instructions you can find here.
An easy alternative to produce native execubles (yes, you can compile the same for Win/Mac/Linux) you can target neko to produce a .n
file and nekotools to transform it in the exe form. Just type:
nekotools boot main.n