Refer

Create EXE Executable File of Web Application in ASP.Net

Steps to make exe

1)Compile the project in Release mode

2)Build the solution

3)Open the project folder and  then bin folder, they you will find the exe. 

Or  follow these steps

1)Right click on Project, create new project

2)Setup and Deployment, you will find, Setup wizard

3)Follow the steps and you can make exe.