ClickOnce Deployment is a setup capability that is built into your Windows Forms project. In Visual Studio 2005, select Project Properties from the Project menu, and click on the Publish tab. From there, after specifying a few things, you can publish to a web site or other location that can act as a setup server for your application. A web page is created that allows your project to be downloaded. If your application needs .NET Framework 2.0 to be installed, and maybe also SQL Server Express Edition, you can specify these prequisites since ClickOnce Deployment has the capability to build into the setup.exe file the instructions to install them after checking for what is already installed, and maybe after getting the end user's acceptance of a EULA. Without a basic understanding of how this bootstrapping works through manifest files, one gets the default install of Windows Authentication with a system administrator (sa) user with an unknown password. This article shows how to modify this. (For an introduction to ClickOnce Deployment and more information about the Bootstrapper, see the links provided at the end of this article.)
Selecting the Prerequisites
From the Project menu, choose Project Properties, select the Publish tab, and then click on the Prerequisites button to view the following dialog.
The only reason I see to download from a location other than the component vendor's web site is if you think the vendor’s site might be busy and your own web site would be more available.