No indeed! The default location for the built executable is in a folder named "build" in the same folder as your pbproj file (at least for most target types). Maybe you should recreate your PB project from scratch and re-add the source files. This would set things aright for sure.
If you just want to check your project's settings, control-click on the project in PB's "Files" pane (the very top item) and choose "Show Info." It shold be obvious what to do from there.
