What you are asking about is compiling. If you write a program in Visual Basic and just save the project files and run it within VB, this is called interpreted code. Without the interpreter (in this case, VB), your processor has no idea how to execute the instructions, which are stored as BASIC commands in a text file. A compiler is something that converts your source code into object code, or machine code to put it another way. These are binary files which contain instructions that the machine can understand. An interpreter does this on the fly, but you want to compile your program so you can distribute the executable code rather than the source.
Visual Basic should have a compiler built in, although your users will need to make sure they have the latest .NET runtime libraries installed from Microsoft. (Visual Basic compiles to something called byte code, which is half-way between interpreted and compiled code.) If you want truly hardware-executable object code without the need for any runtime libraries whatsoever, C++ is a good place to start learning. There's an excellent C/C++ compiler for Windows called Dev-C++, It's distributed by Bloodshed. A quick Google search will send you in the right direction.