well, 1st of all when you want to compile an exploit you gotta check some things:
1. what language the exploit is written in (if its perl, C, ASM, etc).
2. most exploit are written with C or C++. if this is the case, then you gotta look at the source code (just open the exploit.c with notepad). in the begining there's alot of "#include <something>"... if you see "#include <sys/socket.h>", that means you need to compile it thru linux, or with some sort of unix platform (cygwin works for me)*
if you see "#include <windows.h>" or something of that sort, you can simply compile the exploit with visual c++**.
3. if the exploit is written in some other language, its best you post a specific question about it in the forum, so that people who know about these kind of stuff will break it down it for you
4. after compiling, all u gotta do is run the exploit, usually thru DOS, and in most exploits, usage is explained.
PS*: if you wanna compile with cygwin you gotta install the program (
Cygwin), with the devel->gcc package (there is detailed documentation about this in the website's FAQ).
the command line i use, so that the compiled program can run in a windows enviroment, is simply "gcc -o myprog myprog.c -L./ -lcygwin" which links the compiled program to the cygwin DLL in order for it to be able to run... (please note that some exploits require special compilation parameters, libraries and DLL's, so its best to look at the source code to try and figure it out).
PS**: if you wanna compile with visual C++, just borrow the program from a friend, and after loading the source code, go to drop down menu "Build"->"Compile myfile.c", and after you did that, run "Build"->"Build", and if everything goes smoothly, a "debug" dir will be created, containing the exe.
Hope that helped a little,
-GhostCow