How can I compile a standalone exe in VB.NET?

If I remember correctly, in VB6 you could compile a standalone exe (no DLLs), which meant little or no installation required. How would I do this in VB.NET (or even get close!)?
If the .NET Framework is already installed on the target machine, you can achieve the exact same result with Visual Basic .NET. However, if the .NET Framework is not on the machine, you'll need to install it before your program can run.

This was first published in September 2003