Creating a "setup.exe" file is called Deployment. This is not something you can (or need to) do by yourself. There are tools for doing it, for example:
Install Shield[
^].
If you are using Visual Studio, there are built in tools to create your installation pack. Create a new project, and select "Other Project Types", and then "Setup and Deployment". You will find 2 types available:
InstallShield LE
and
Visual Studio Installer
Chose the 2nd one (unless you bought Install Shield).
Then following the Wizard's instructions.
Basically, you will be asked to define what will be copied to 3 main places at the end user's PC:
1. Application Folder, which is the Program Files folder - the files that will be placed in a dedicated folder under "Program Files".
2. User's Desktop, which is used for a shortcut for your product
3. User's Program's menu, which is used for the Start menu, or similar.
Please note that you can include any file needed by the end user, including databases of course. Files that are required by the installation pack are called "dependencies" but there are additional files you may add, including databases, user manuals, etc.