TestCompilation.cs

var tree = CSharpSyntaxTree.ParseText(@"
using System;
public class C
{
    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 });

//Emitting to file is available through an extension method in the Microsoft.CodeAnalysis namespace
var emitResult = compilation.Emit("output.exe", "output.pdb");

//If our compilation failed, we can discover exactly why.
if(!emitResult.Success)
{
    foreach(var diagnostic in emitResult.Diagnostics)
    {
        Console.WriteLine(diagnostic.ToString());
    }
}