un like engines like unreal and serious sam, you will need to compile the map before you can play it , half life is a pain like that.
there is a good tutorial on setting up compilers and options
here.that should get you going in the right direction. After setting all that stuff up you can compile in hammer by hitting f9.
when compiling is comlete it will generate a .bsp file.
hope that helps you.
if that doesn't help feel free and let me know
not to be a ****, but in teh future please use the mapping hep and tourble shooting forum vcleverly hidden at the top of this forum.