SQL needed to install before running .exe file

I have a question regarding SQL server. I developed software using VB.net and SQL server 2005. The problem is when I tried to create .exe file, I cannot run it on my computer since SQL server is installed on my system. I want to know if I will run this .exe file on other computer, should I install SQL server first. If so, is it possible to run it on other computer without installing SQL server? I hope someone can reply to my query. Thanks.
