TestCompilationToStreamAndRun.cs

var tree = CSharpSyntaxTree.ParseText(@"
using System;
public class MyClass
{
    public static void Main()
    {
        Console.WriteLine(""Hello World!"");
        Console.ReadLine();
    }   
}");

var mscorlib = MetadataReference.CreateFromFile(typeof(object).Assembly.Location);
var compilation = CSharpCompilation.Create("MyCompilation",
    syntaxTrees: new[] { tree }, references: new[] { mscorlib });

//Emit to stream
var ms = new MemoryStream();
var emitResult = compilation.Emit(ms);

//Load into currently running assembly. Normally we'd probably
//want to do this in an AppDomain
var ourAssembly = Assembly.Load(ms.ToArray());
var type = ourAssembly.GetType("MyClass");

//Invokes our main method and writes "Hello World" :)
type.InvokeMember("Main", BindingFlags.Default | BindingFlags.InvokeMethod, null, null, null);