Hi,
I will try to explain this. When a new project is created a Rapid Application Development is selected, in this case CW provides Processor Expert to configure your device with a graphic environment (this makes the things easier) . This tool is configured when you are creating your project.
The project that the .exe generates it is a copy of the hello_world example but are no prepared to use PEx tool. Hence you can not use the component in this project.
Also you can create a new PEx project and add components. In the attachments you will find a hello_world example with PEx tool.
Let me know if you have any problem.
Hope this helps.