I downloaded WinEdt 6 but I do not know how to compile and run the file as compiled in previous versions.
I would recommend to download and install WinEdt 8, since WinEdt 6 is quite old and unmaintained. Moreover WinEdt 8 has a lot of new features compared to v6.
Apart from that, it depends on what compiler you want to use.
You have a list of options under the "TeX" menu:
The same commands are accessible from a drop-down button in the toolbar:
You have also a generic "Compile" entry in the "Accessories" menu which coincides with "PDFTeXify" if you don't change anything in the defaults.
Each one of the above commands can be customised through the "Execution Modes" dialog, which can be found in the "Options" menu:
About the meaning of the "PDFTeXify" command and similar, take a look at this thread: Quick Build commands in WinEdt