You may not have the correct compiler settings enabled. To generate a .HEX file, you need to enable the "Generate HEX file" option in the compiler settings.
Your code may contain errors. If there are any errors in your code, the compiler will not be able to generate a .HEX file.
You may be trying to compile a file that is not an ASM51 source file. ASM51 can only compile files with the .ASM extension.