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Compiling sqlite system on Ubuntu
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`a.out` is the default name of the output file.  

If you want it named something else, then you specify which file to output to with the -o option.

```
gcc shell.c sqlite3.c -lpthread -ldl -lm -o sqlite3
```

You may then need to make sure that the file `sqlite3` is executable.  If it is not, then `chmod +x sqlite3` to make it executable.

It would probably be easier to just do a full source download and use the ordinary configure/make process.  I would suspect that the generated makefile knows how to do `make install` (but I do not know for sure)