Compile to stand alone exe for C# app in Visual Studio 2010
You just compile it. In the bin\Release (or bin\Debug) folder, the .exe will be in there.
If you're asking how to make an executable which does not rely on the .NET framework at all, then that's a lot harder and you'll need to purchase something like RemoteSoft's Salamader. In general, it's not really worth the bother: Windows Vista comes with .NET framework 2.0 pre-installed already so if you're worried about that, you can just target the 2.0 framework (then only XP users would have to install the framework).
I am using visual studio 2010 to make a program on SMSC Server. What you have to do is go to build-->publish. you will be asked be asked to few simple things and the location where you want to store your application, browse the location where you want to put it.
I hope this is what you are looking for