You can't just build it as a "Normal" exe and move it to the other machine: it requires a number of support files (held in DLL's).
I don't have VC6 installed at teh moment, but there are two options:
1) I seem to remember that there is an selection in the "build options" for "stand alone exe" - but that may be from a previous version, I haven't done that for a while.
2) Use the InstallShield that came with VC6 to create an installation program for your app (recommended). There is an article showing what to do here:
How to create customized InstallShield for a VC++ Application[
^]