Py++ generates you syntax you use along with boost::python to generate python entry points in your app.
Assuming everything went well with Py++ you need to download the Boost framework, and add the boost include directory and the boost::python lib to your project then compile with the Py++ generated cpp.
You can use whatever build system you want for your project, but boost is built with bjam. You need to choose whether you want a static lib or a dynamic boost python lib then follow the instructions for building boost here.
If on windows, you need to change the extension on your built library from .dll to.pyd. And yes it needs to be a library project, this does not work with executables.
Then, place the pyd where the python on your machine can find it and go into python and execute import [Your-library-name] and hopefully everything will work.
One final note, the name given in generated.cpp in this macro:
BOOST_PYTHON_MODULE( -name- )
needs to be the exact name of your project, otherwise python will complain.
I just went through all this less than a month ago so I know about the confusion.
One thing I did to make my python extension very easy to use while building the library and testing, was to build boost::python and python myself in my build environment. That way the pyd ends up exactly where I want it and users do not need to install python in order to run with my extension. That may be overkill for what you are doing though.
Edit:
If you want your extension to be easily installed and compiled on a machine, check out python's setuptools. With just a few simple lines you can have python compile and install your package for you. One downside though is its not IDE compatible for those of us who like developing in visual studio.