I have a console application built in visual studio 2010.
When I actually build the project I am getting .exe file under \bin\Debug\MyProj.exe.
When I Paste and run this .exe from other location it is expecting other files too.
Any thoughts how can I make this as Stand alone exe file.
You usually distribute application with bunch of DLLs, that's nothing bad.
But if you really want to make it a single exe, you can look here - same question is answered Embed .net dll in c# .exe . (Valid if your DLLs are also .Net assemblies)
Edit: If you need to easily distribute app to not-very-computer-friendly users, consider also trying ClickOnce. It's roughly something like Java Web start - only disadvantage is that you can't get "Windows Logo" certificate from Microsoft for projects distributed that way.