I've written a program in C++ . Now how to convert this to a software,i.e some .exe file or something . So that one don't have to always run it in turbo C++ ,instead can run it directly by clicking on an icon.

You have to compile and link your code to create an EXE version. If you're "running" it in the IDE, there should already be on your system somewhere an EXE that was created the first time you ran it. My memory's a tad fuzzy as I haven't used the Borland IDE since the mid 90s, but as I recall there were directory options in the project for where files were output when the project was built. I used the Borland C++ suite. The Turbo C++ interface might be different.