Short and simple answer: No.
Long answer: Let's say you pack in only the things you need into a single exe file, it'll be huge. I think it's easier to just tell the people to install .NET, and most computers have it already (at least .NET 2.0). Though there are multiple ways to ask the user to install .NET before the application can successfully launch. You can also consider writing the program in vb6, or C++.
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