You're in the right window, but clicking on the wrong item. The System tab referred to here is better understood as a tree-like view where you can see all subsystems that support code generation. You should note that the the "Plant" and "Controller" entries in the System tab correspond to Subsystems in the main PLECS schematic, and the "boost_converter" at the top level identifies the top-level system.
Here you should select "Plant" in the left hand window just below where you circled and then click Build to generate code for the plant. Then in the directory that contains the PLECS model file, you will see "boost_converter_Codegen" which contains the Plant.elf file. If you generate code for the "Controller", you'll see Controller.elf in that same folder.