Converting to EXE is easy - it's called a build is all, but you need to select "Release" on the menu bar where it says "Debug" at present.
The other requirements are more problematic.
You can't necessarily just copy you exe file from one machine to another and expect it to work - there is a good chance it won't. The best thing to do is to create a Setup and Deployment project as part of your Solution, and that will create a setup application which will install the necessary components to run your exe.
If you have a look at Google it will help you to do that: Setup and Deployment project with crystal reports
SQL server is another problem altogether! You should not include SQL Server in your installation. There are a couple of reasons:
0) You can only distribute SQL Server Express for copyright reasons - not SQL Server full version.
1) They may already have SQL Server installed on the network. If so, then they will presumably want to use that version.
2) If they do have SQL server installed and you start proliferating SQL server Express instances, you are going to annoy the heck out of the database administrator...
3) A single site installation of SQl Server is a lot more likely to be backed up than a number of scattered version under user control.
4) Sql server is quite complex for a "normal" user to install and administer - it is not a good idea!
5) It will destroy the primary advantage of using Sql Server over SqlCE or SQLite - multiuser access. If everyone installs their own copy of SQL server, then you will have multiple copies of your database, each used by a single person. This will cause some confusion, and (depending on how you wrote the original database) may take some considerable effort to combine into a single instance when the problem is realized.