How do you make exe file of visual basic project?

Whenever you save a project it automatically saves a .exe of it.

Go to

My Documents -> Visual Studio 2005/2008 -> Projects -> "Choose your Project" -> Click on the folder with the name as your project -> obj -> Debug

There should be an .exe file with the name of your project in it, or something like "Windows Application 1.exe". Double click on it.