For exe file.

There are various ways to setup the basic database. One common approach is to include SQL that will create the database with all the tables, stored procs, views etc. A backup of the default DB is also included in the setup and this backup is then used to restore the database onto the newly created database. You can easily do all this using basic SMO.

Alternatively, you can use functionality provided by installer applications to do this, but that may require you to buy a higher end commercial package like Installshield or Wise.