I tried reading the manual page on how to compile the source, and it says it requires a file called makepanda. I can’t find any file with that name in the Panda3D-1.6.1 folder anywhere. I’ve tried installing it twice, but still not there.
What am I doing wrong?
Do you want to compile your own Panda program or do you want to compile the Panda source?
If you want to compile the Panda source, you’ll need to download it separately. The source code does not come with the installer package (it’s too big for that).
You’ll need to download this package:
panda3d.org/download/panda3d-1.6 … -win32.zip
And here’s a howto:
panda3d.org/manual/index.php/Tutor … on_Windows
Oh, I just wanted to make a program. Such as the sample programs. I wanted to compile a few to see how big they end up being, and to familiarize myself with the process. Oh wait… I did go to the compile page for the entire Panda3D program didn’t I… yikes. I thought it was just for making one of the programs. I was wondering why in the world I needed Visual C++ to compile a python file. I’m so dense…
So… how do I compile a panda program? Haha.
Oh, you want to compile a Python file? I thought you wanted to compile the Panda Source since you posted it in “Compiling or Editing the Panda Source”. 
But anyways, you can’t compile a Python program, since it is an interpreted language. If you’ve made a python file, just run it through the Python interpreter. This page shows how:
panda3d.org/manual/index.php/Using … ur_Program
If you mean you want to convert your Python file into a .exe for distributions, there are several ways to do it. Most commonly used are pyinstaller and freeze. There’s plenty of information on the forums about that - just search.