Keil Knowledgebase article on Intel Hex:
http://www.keil.com/support/docs/1584.htm

A dicsussion of what Intel Hex is, and why we need it:
http://www.keil.com/discuss/docs/thread837.htm

An example of why we need things like Intel Hex:
http://www.8052.com/forum/read.phtml?id=19410

I suggest that you download & install the free Keil evaluation tools:
http://www.keil.com/demo/
It includes the full manual set in PDF format.
Chapter 1 of the uVision Getting Started guide includes an overview of the software development process, and the functions of each of the tools (compiler, assembler, linker, etc) in the chain from source code to Intel Hex.
The uVision Getting Started guide also includes example projects and guides you through creating, building, testing, and debugging with the Keil tools.

Of course, because Keil are giving away these tools free, gratis, and for nothing, there are some limitations:
http://www.keil.com/demo/limits.htm