I would lik to make 1 exe-file (win32) with all obj, idp, pdb... files embeded to make it easier to copy the program and use it on other computers, can anyone help me?
If you want to simply run the generated program on another computer, just copy the .exe and any associated dll files. The pdb file is a debug information database that is not actually needed to run the program - only to load it in the debugger with specific information. The other files are intermediate files created during the build process.
If you don't want to have to install the Visual C++ Runtime on the target machine, or rely on it being there, you will want to go into the Project Settings -> C/C++ Settings -> Code Generation and select that you want the "Multithreaded" library instead of the "Multithreaded DLL" library (or equivalent). This will embed the C++ runtime into your program.
Of course if you're trying to copy the project over to perhaps do more debugging or development on another computer, just pack it all into a zip file.