How to compile a LaTeX document?

Up until now, I've just been using LyX for all my LaTeX needs. Now I have a .tex file and I need to compile it (turn to pdf). How do I do this on Windows XP? Obviously I have LaTeX installed (MikTeX).

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The easiest way is probably to use an editor that integrates with TeX, like TeXworks. However, as I haven't compiled any TeX file on Windows for years, I leave this question for someone else to answer in detail. –  Caramdir Aug 12 '10 at 11:58
Amir, you seem to be a bit confused about the difference between TeX and LaTeX. I've edited your question to make it more accurate, but please have a look at this other question that explains the difference more clearly. Unless, of course, your file is really a TeX document, then please make that clear in your question. –  Juan A. Navarro Aug 12 '10 at 12:03

one way of doing this is using the command line by entering pdflatex yourfilename.tex (assuming MikTex is in your path - just give it a try).
Another way would include installing software such as TeXnicCenter or TeXworks which will let you open/edit/compile a .tex file from within an editor environment.