On the project property's 'Configuration' tab, specify 'use MFC in a static library'. This will remove dependencies on the MFC dlls; you won't have to redistribute those with your .exe. Any third-party dlls you might use will still have to be distributed with the app. Place them in the same directory as the .exe when distributing.
If you want to get a little more professional, you can put together an installation package (.msi) that can create shortcuts to the user's Programs directory, creates any necessary registry entries, etc. VS05 supports this - it's pretty straightforward.