I have a problem with making a setup file for my application
If a setup file is not possible please tell me how would I be able
To move the application around….

I have made an application with front end in C# and dbms SQL Server
(ie. ADO.net)…
As I am quite new to Programing and am just trying to learn by practicing
I don’t know how to make an exe or setup file
Please any body, guide me how would I be able to move the file around
And what files are required on the PC I am intending to use it on…

I don't know if there is a built-in way to make a setup package (.exe or .msi) from within C#, but there are a number of external programs available that will build a setup for you. I use one called QSetup and have tried many others (Red Shift, InnoSetup), but there are others, and if you can do without some fancy features, there a some that are free, though lacking in some of the nicer features.
I'd stay away from the bulldogs like InstallShield, Setup Factory and some others...they're just too expensive for no particular reason.
You do have to consider, though, that you might want to include the .NET Framework in your installation, so your setup program would need to be able to do that.

Hope this helps!