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General question about .net and dependencies

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So I'm fairly new to .net (several years of MS Access VBA before that), and have managed to program a couple of Windows Forms that log into SQL Server databases and do various things. I felt they were a good start to my programming in vb.net. They're not amazingly complex, but they do what they're designed to.

I have a coder in my department (duties are not well defined; I have many tech support duties that he does not, but he's got quite a bit more programming experience than me). Today, as I started to program a 3rd vb.net app, that said "you know, your .exe files shouldn't be requiring these other files; the things you're doing should be able to be done without producing extra required files. that's a bug, and you'll need to eventually figure out the problem." In creating the apps, I followed several tutorials on the net, so I know (or suspect) that vb.net's "Windows Forms Project" option just automatically creates the files it needs when creating an EXE. To me that seems industry standard. But he's talking like a good vb.net program shouldn't have any dependency files, and should just be an executable.

Can someone with more experience in coding in vb.net give me some guidance as to whether either perspective has merit when it comes to how I should be designing applications?

EDIT: The files I'm referring to are .pdb, .xml, .dll and .config.

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