You need the MATLAB Compiler product to compile your m-file into a standalone program. See the FAQ: http://matlab.wikia.com/wiki/FAQ#MATLAB_Compiler_Toolbox
Your standalone program can either be a console application, like everything happens in the console (DOS) window, or a GUI application. If all your user interactions took place in the command window, when running your m-file in the MATLAB environment, then it will be a console application. If you had a user interface, like you built your app using GUIDE or any of the other functions that popped up a dialog box or figure, then it will be a GUI application. And of course it can be a mixture of both, though that would be confusing to the user if they had to input in different places. I always do GUI applications though I will put status information into the console window, particularly when the app is launching and I'm in the OpeningFcn function, since that's the only way (well, at least a good, or easy, way) to see what functions you're in and how far along you got before it crashed. Again, read the FAQ.
