Answer 1

Using C++ ??
You'll need an IDE like VS community
Here's Hello, Wolrd tutorial
https://youtu.be/YR6fxe1wa8g

Answer 2

To make button in a .exe you can use Visual Studio Community.

Answer 3

To make gui application not only for Windows you can try Qt Project
qt-project.org

Answer 4

I would recommend you to search some sample apps. I have no idea about making buttons in C++ or .exe files, but I've learned Pygame by samples and I could make buttons and window with Python.