creat an exe project with C# and sql server

You don't want an EXE file, you want an installation package. That will ensure that the necessary requisites such as the appropriate .NET version is installed as well as the application exe file and so forth. Try creating a new project in your solution: a "Setup and Deployment" from the "Other Project Types" branch of the Visual Studio project templates.

But...
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.