How to release a project ?

Include the .ico file as a resource.

Right click your project under Solution Explorer and choose Properties.

On the Resources tab (on the left) you can add icons, bitmaps... and they will be built into the .exe.

You will then have to change references to the files to Properties.Resources.FileNameHere

For some reason Icons don't like being attached to forms when added this way but you can get around it by assigning the icon after "InitializeComponent();" like:
public Form1()
{
  InitializeComponent();
  this.Icon = Properties.Resources.MainIcon;
}