I may have this completely wrong, but my understanding is that the --standalone compiler option tells the compiler to include the F# core and other dependencies in the exe, so that you can run it on another machine without installing any 'runtime'.
However, I can't get this to work in the CTP - it doesn't even seem to change the size of the output file (docs I've read say about 1M extra).
"Google may know, but if it does, it ain't telling, or I'm not looking in the right place"
UPDATE:
It seems to work with latest CTP update 1.9.6.2
UPDATE2:
I have since experienced another error:
FSC(0,0): error FS0191: could not resolve assembly Microsoft.Build.Utilities.
If you get errors like this when trying to compile --standalone, you need to explicitly include them as references in your project.