Hi Neha Maheshwari,
Firstly, the *.o are created under the “Debug” folder and subfolders. Can you find them there?
Secondly, something seems wrong in the project tree. In the screenshot, I can’t see any main.c in your project. For example project from ST, it is usually in PROJECT_NAME/Example/User. If missing, please copy/recreate it somewhere under the project then rebuild it.
Hope it solve the issue,