Create Executable For Target
Either option will open a save window where you can give the final name that you wish to use for your game file. Once you have done this, the necessary files will be generated so that you can distribute it as you wish.
NOTE: Before doing a final build of your project for release, you should always clear the Asset Compiler Cache (using the green "broom" icon at the top of the IDE) to ensure that all cached files are recreated and no stale files corrupt your final game.