First step of building an executable is compiling (or assembling) object file from the source:

For nasm example:

$ nasm -f elf hello.asm

For gas example:

$ as -o hello.o hello.S

This makes hello.o object file.

Second step is producing executable file itself from the object file by invoking linker:

$ ld -s -o hello hello.o

This will finally build hello executable.

Hey, try to run it... Works? That's it. Pretty simple.