Hi Brandon, welcome to LÖVE!
First of all, can you tell us what exactly the error is? If the error is "no code found", are you sure you called your file main.lua and not main.lua.txt? Usually Windows hides file extensions, so using the latter by mistake is pretty common; if you're using Windows 7, press "alt" in an Explorer window, select Tools in the menu bar, select Folder Options, then Visualization (I guess, my OS isn't English) and untick the "Hide known file extension" (again, it's not exactly this), then just click ok and you're ready to remove the .txt extension.
Obviously, if the problem isn't the above and I just wasted 3 rows you should tell us exactly what you did, since what you wrote shouldn't cause any error.
To 'fuse' the .love with the .exe you have to run the command prompt and use "copy /b 'path\to\the\love.exe'+'path\to\the\game.love' 'path\to\the\resulting\game.exe'" (I hate using backslashes, but I'm unsure of what Windows would do if you used normal slashes, sometimes it refuses to use a normally-slashed path here). If you want more details, check out
Game Distribution on the wiki, it also explains what to do with other OSes.
Well, I hope you'll enjoy using LÖVE