Visual Studio supports three types of deployment:
1. Windows Installer. That means creating a Setup project or Installshield SE project, depending on your version. Only paid-for editions, i.e. NOT Express, support this option.
2. ClickOnce. All editions of VS support this and it is managed via the Publish page of the project properties.
3. XCOPY. This basically means just building your project and copying the output to the target machine with no actual installation routine.
You can also use third-party tools to create installers for your app.