The help menu works great in Xcode. If you search for each term listed in Step 3, the menu items you need will be shown to you in Xcode.
Running a Mac app is trivial - click the play button in the toolbar - you don’t need any simulator or certificates or setup or choosing a scheme like the image above indicates.
Since you are new, I would also spend time in the Xcode documentation on getting started.
You will get alerts in the activity area if anything fails - the project you are starting with has made hundreds of decisions in the project file, dozens of which would take me several weeks to digest (spending an hour a day on this alone) and understand at a cursory level. I’m not a full time developer, but I have been compiling and making Mac apps since the late 80s and I still need to read the documents, watch wwdc videos and ask questions online. Good luck and don’t worry if you have lots of work ahead to find and fix any compile errors or if you have start a new project to learn how Xcode works step by step.