You should compile a new .exe.
Here is the wiki:http://wiki.torque3d.org/coder:compiling-in-windows
What I do:
Inside the "buildFiles" folder there are various pre-made methods for some common compiler things.
For my WindowsXP with preoject manager 2.1 I use the .sln inside "VisualStudio 2010" as I can use the free version of VisualStudio 2010 (obtainable from microsoft web). I have the DirectX SDK like said in the wiki.
Then I press F7 (build) and wait. I somethimes get linking errors (those aren't code errors) that are fixed by just trying F7 again.
The new project manajer (2.2) also has linux and VS2015 I think.
By the way, the first time you compile a new project may take a long time (even some hours) but that exe can be used then for multiple projects if you don't need to change the c++ code.
-NO COMPILING WAY-
Well, there is the other option of using an already made exe.
You can get the engine binaries here:http://wiki.torque3d.org/main:downloads#toc4
But those are a bit outdated.