how to create a exe file in windows application and how to use that exe file

If you select Windows Forms Application from the Visual Studio project types menu, the output will automatically be an .exe file:

http://msdn.microsoft.com/en-us/library/ms235634%28v=vs.100%29.aspx[^]

You can deploy these project types with a Visual Studio Setup project:

http://msdn.microsoft.com/en-us/library/19x10e5c%28v=vs.100%29.aspx[^]

This will deploy the .exe project for you if you add the Primary Output of the .exe project to the setup. For attaching a database you might have to go down the road of Custom Install Actions in the setup project:

http://msdn.microsoft.com/en-us/library/d9k65z2d%28v=vs.100%29.aspx[^]

I would consider either using SMO to attach the database, or running an osql command from the command line:

http://msdn.microsoft.com/en-us//library/ms162169.aspx[^]

http://msdn.microsoft.com/en-us/library/ms162806%28v=sql.105%29.aspx[^]