I am having exactly the same problem using both Winshell and TeXnic Centre. I have tried installing Winshell first and what happens is the following:
I open a .tex file that I have used on other machines from my memory stick. I then edit something on the screen before pressing F11 to build in PDF form. The build is successful, however the output is exactly as it was before, and my modifications do not appear.
I then uninstalled Winshell and installed TeXnic centre, and recieve the same problem. Does anyone know how to get around this? I am currently using Windows 7, but I know it is nothing to do with 7 because I have a Laptop running on XP that has an identical issue. I should note that I have a copy of MikTeX installed on both machines.
Any help on this would be great!