Can we build an EXE from windows form application in C#

Well, I assume you are willing to create a windows application which can Build your project/solution/.cs File and create an executable as output.

To achieve this, you can call below command lines from you windows application. Example:

csc /out:My.exe File.cs
devenv /build Debug Solution.sln

This command will build File.cs and create and executable output. In similar lines you can also create DLLs.

For more information/variety on csc.exe and msbuild commands, please refer to the below link and choose the one that suffice your requirement:
Command-line Building With csc.exe[^]
How to Compile C# Solution using command prompt ?[^]

Also, you can refer to
c# - Run Command Prompt Commands from C# Code- Stack Overflow[^]