Saving a cocoa application to like an executable.

[RookieAppler]

Hello, I am very new to mac cocoa applications. I currently work on iOS programming. So i was interested in cocoa applications also. I followed few tutorials and got a core-data based cocoa application built. Its very simple. Add records to table view and removing them. Now i have started to compare .net application to cocoa application..is it right?i built C# applications in the past in my school. I used to get .exe files in those applications. I can use the .exe file on any of my PCs. I used archive to create an application to test now. So i saved it on my desktop. Now i open the application and work with it..add records, remove records. When i close the application, it asks me to save it in binary,sqlite or xml. How can i close the application to save it like a .exe file. Basically not to ask user to save..more questions coming. Thanks