Build .exe in vb .net based on source code?

Yes that is possible, refer to this question: How to compile a VB.NET console application's source code using VB.NET

Friend Function CreateConsoleApplication(ByVal VBSourceCode As String, ByVal WhereToSave As String) As Boolean
        Try

            VBSourceCode = "Module Module1" & vbCrLf & "Sub Main()" & vbCrLf & "Dim UserInfo As String = ""Name: User1""" & vbCrLf & "System.Console.WriteLine(UserInfo)" & vbCrLf & "System.Console.ReadLine()" & vbCrLf & "End Sub" & vbCrLf & "End Module"
            WhereToSave = "E:\TestConsole.exe"

            Dim provider As Microsoft.VisualBasic.VBCodeProvider
            Dim compiler As System.CodeDom.Compiler.ICodeCompiler
            Dim params As System.CodeDom.Compiler.CompilerParameters
            Dim results As System.CodeDom.Compiler.CompilerResults

            params = New System.CodeDom.Compiler.CompilerParameters
            params.GenerateInMemory = False

            params.TreatWarningsAsErrors = False
            params.WarningLevel = 4
            'Put any references you need here - even you own dll's, if you want to use one

            Dim refs() As String = {"System.dll", "Microsoft.VisualBasic.dll"}
            params.ReferencedAssemblies.AddRange(refs)
            params.GenerateExecutable = True
            params.OutputAssembly = WhereToSave

            provider = New Microsoft.VisualBasic.VBCodeProvider
            results = provider.CompileAssemblyFromSource(params, VBSourceCode)

            Return True
        Catch ex As Exception
            MessageBox.Show(ex.ToString)
            Return False
        End Try
    End Function