You take the source and run it through an assembler, "Buddy" seems to be the preferred one, but with some tweaking it probably will work with any 6502 assembler, native or cross developing one.
If you move one directory level higher (i.e. edit the URL), you can download a binary version for VIC-20:
http://www.pomakis.com/~pomakis/c4/connect4-vic20
On level 1, it is like playing with a toddler. On level 7, it displays a lot of garbage while thinking for an eternity. The presentation reminds me of a Basic program, although it is written in machine code. I don't know what the different levels refer to programmability wise.