This is all hypothetical, so please bear with me.
Say I'm writing a tool in C# called Foo. The output is foo.exe. I've found some really great library that I like to use called Bar, which I can reference as bar.dll in my project. When I build my project, I have foo.exe and bar.dll in my output directory. Good so far.
What I'd like to do is link foo.exe and bar.dll so they are one assembly, foo.exe. I would prefer to be able to do this in VS2008, but if I have to resort to a command-line tool like al.exe I don't mind so much.