Compiling C++ on a certain operating system (OS) will create an executable file for that OS. You are not limited to only a .exe binary file.
The first step to start creating your first C++ application is to install Xcode. This development program is not installed by default with Mac OS X. You must insert one of the DVDs that came with your computer and install it. After, start Xcode and click on File and then New Project. Once that is done, select Command Line Tool and make sure that C++ stdc++ is the selected type. Before I forget to write this, Xcode's compiler for C++ is gcc. If you need some help to start off you always visits some sites or buy (or rent) some books.
One thing to note is that Apple's main programming language is Objective-C which is different from C/C++. While both of these languages have common features, it might be easier to start with Objective-C. It is possible to do some OOP with Objective-C and it will be easier with it. On the other hand, it is possible to do more complex OOP with C++ than with Objective-C.
If you ever wish to learn the basics of the Cocoa Framework (which is a set of libraries and tools to help you create a window), I suggest you learn how to program (some Objective-C or C++ could be nice) and buy the book Cocoa Programming for Mac OS X from Aaron Hillegass.