The preferred targets for Kha development are Flash and HTML5. Debugging functionality and test iteration times are best on these targets. For these targets you may use either your web browser or the standalone Flash Projector.
For a Windows build the most straightforward option is Visual Studio. khabuild will try to autodetect the version you are running and generate a VS solution file for you. Then open the solution in the IDE, select Debug or Release and do debugging and profiling from within VS.
You are ready to show your game to somebody, but you need to get it running on their device. This section will depend on your target, but Kha has kept the process simple.