How to compile a .NET application to native code?

Microsoft has an article describing how you can Compile MSIL to Native Code

You can use Ngen.

The Native Image Generator (Ngen.exe)
is a tool that improves the
performance of managed applications.
Ngen.exe creates native images, which
are files containing compiled
processor-specific machine code, and
installs them into the native image
cache on the local computer. The
runtime can use native images from the
cache instead using the just-in-time
(JIT) compiler to compile the original
assembly.

Unfortunately, you still need the libraries from the framework in order to run your program. There’s no feature that I know of with the MS .Net framework SDK that allows you to compile all the required files into a single executable

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