When you compile/run your windows application your project t will create an exe in bin\debug folder, With the help of setup and deployment project you can be able to create a setup file for an exe. follow below steps
1. Right-click on Solution Explorer root and select "Add" > "New project".
2. In the add new project dialog box select "Setup and Deployment" from other project types and then select Setup Project.
3. In the setup project file system editor window, right-click on the Application folder then select "Add" > "Project Output".
4. Now select primary output from the next dialog box and click on OK.
5. Right-click on the user's Desktop and create a shortcut to primary output in the application folder.
6. Similarly add a shortcut in the user's Program Menu.
7. Build the project by right-clicking on the setup project name and run the setup.
8. ClickOnce deployment allows you to publish Windows-based applications to a Web server or network file share for simplified installation
see below link for more detail
Editor, DotNetSpider MVM
Microsoft MVP 2014 [ASP.NET/IIS]