test.cs

using Microsoft.CSharp;
using System.CodeDom.Compiler;
using System.Reflection;
using System;
using System.Text;

public class A
{
    public static void Main(string[] args) 
    {
        CSharpCodeProvider provider = new CSharpCodeProvider();
        CompilerParameters parameters = new CompilerParameters();
        string code = @"
    using System;

    namespace First
    {
        public class Program
        {
            public static void Main()
            {
            " +
                "Console.WriteLine(\"Hello, world!\");"
                + @"
            }
        }
    }
";

// Reference to System.Drawing library
//parameters.ReferencedAssemblies.Add("System.Drawing.dll");
// True - memory generation, false - external file generation
parameters.GenerateInMemory = true;
// True - exe file generation, false - dll file generation
parameters.GenerateExecutable = true;
        CompilerResults results = provider.CompileAssemblyFromSource(parameters, code); 
        if (results.Errors.HasErrors)
        {
            StringBuilder sb = new StringBuilder();

            foreach (CompilerError error in results.Errors)
            {
                sb.AppendLine(String.Format("Error ({0}): {1}", error.ErrorNumber, error.ErrorText));
            }

            throw new InvalidOperationException(sb.ToString());
        }

        Assembly assembly = results.CompiledAssembly;
        Type program = assembly.GetType("First.Program");
        MethodInfo main = program.GetMethod("Main");

        main.Invoke(null, null);
        
    }
}