You do not have a problem. You want for some reason to reduce the amount of files. Do you have a good reason for this? If it does not, do not.
If you really want to, you can do as Omni said in the comment and use the ILMerge to merge the files into one. You even have a GUI if you think it helps. Example usage:
ilmerge /target:winexe /out:Main.exe
Program.exe ClassLibrary1.dll ClassLibrary2.dll
It is not any code file that can be used for this. Because the native code format is different, they can not be merged.
Having multiple files is the least of the dependency problems. If you really do not want to have dependencies, use the .Net Core . With it you do not even need the .Net installed on the machine. It will need to have some files, but it will actually avoid the most significant dependencies and that can bring real difficulties.