How to create an EXE file in VB.NET

How can I create an EXE file for a VB.NET project. I tried with file -> New project -> setup and deployment -> setup wizard.

But I can't include SQL Server 2000 database. Showing error

Error. Unable to find source file 'C:\Program Files\Microsoft SQL Server\MSSQL\Dat开发者_StackOverflow社区a\eg_Log.LDF' for file 'eg_Log.LDF', located in '[TARGETDIR]', the file may be absent or locked. C:\Documents and Settings\XP\Desktop\egg\Setup1\Setup1.vdproj Setup1

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SQL Server puts a hard lock on the database files when it is running. Stop it first with the service manager.