Thanks! The .dcb file is the compiled source file for the game - some Caanoo and BennuGD tutorials out there have you compile the source code and execute the resulting compiled file actually on the Caanoo, but this is an unnecessary step. It's much more efficient to compile the game beforehand, like in the tutorial, and then execute the file. As for your problem, I believe you must make sure you have the latest BennuGD Runtime download from the homepage and use the bgdi.exe runtime and bgdc.exe compiler files present in the download to compile and run the game. EDIT: Also, you most likely won't be able to just double-click the compiled .dcb file to run it - you'll have to use the command terminal (In the Start menu, select Run, and type 'cmd') to run the BennuGD interpreter program, like so...
cd C:\BennuGD
bgdi "C:\My Tutorials\tutorial1.dcb"
I believe.