I recently downloaded the pre-compiled win32 PS2SDK and I tried compiling one of the samples. I got no errors, an object file was created and .erl file was created, but no .elf.
Yes, you likely compiled one of the ERL samples. Try compiling one of the other samples (graph, for example), or, per Drakonite, "There is a line in the makefile that starts with "ERL_BIN =" ... if you change it to "EE_BIN =" it will cause it to build elfs instead of erls." I do believe the output file is also file.erl, which should be changed to file.elf in the makefile as well.