Keil file only generates text, without hexadecimal file.

That's because the parameters of your project are not set well. See the figure below. Click the button of the probe. If there are many red circles, a dialog box will appear, and then click the red circle to tick. You must compile before you can generate hexadecimal files. Of course, nothing will be generated without compiling.

More importantly, the program you write should be saved as a c file, such as led2.c, not as a text.

After saving as a C file, you need to create a new project, load this C program in the project, set the above options, and then compile.

You don't seem to have done any of this. How can you generate a HEX file?