To create a build target producing an executable, one should use the add_executable command:

add_executable(my_exe
               main.cpp
               utilities.cpp)

This creates a build target, e.g. make my_exe for GNU make, with the appropriate invocations of the configured compiler to produce an executable my_exe from the two source files main.cpp and utilities.cpp.

By default, all executable targets are added to the builtin all target (all for GNU make, BUILD_ALL for MSVC).
To exclude an executable from being built with the default all target, one can add the optional parameter EXCLUDE_FROM_ALL right after the target name:

add_executable(my_optional_exe EXCLUDE_FROM_ALL main.cpp)

To create an build target that creates an library, use the add_library command:

add_library(my_lib lib.cpp)

The CMake variable BUILD_SHARED_LIBS controls whenever to build an static (OFF) or an shared (ON) library, using for example cmake .. -DBUILD_SHARED_LIBS=ON. However, you can explicitly set to build an shared or an static library by adding STATIC or SHARED after the target name:

add_library(my_shared_lib SHARED lib.cpp) # Builds an shared library
add_library(my_static_lib STATIC lib.cpp) # Builds an static library

The actual output file differs between systems. For example, an shared library on Unix systems is usually called libmy_shared_library.so, but on Windows it would be my_shared_library.dll and my_shared_library.lib.

Like add_executable, add EXCLUDE_FROM_ALL before the list of source files to exclude it from the all target:

add_library(my_lib EXCLUDE_FROM_ALL lib.cpp)

Libraries, that are designed to be loaded at runtime (for example plugins or applications using something like dlopen), should use MODULE instead of SHARED/STATIC:

add_library(my_module_lib MODULE lib.cpp)

For example, on Windows, there won't be a import (.lib) file, because the symbols are directly exported in the .dll.