You don't have to run your game from Visual Studio. When you compile a game (release mode, please) you have an executable that doesn't need the source files. However, it will need to have your media and support files (if necessary) available. This could take the form of some zipped or packed files or a roll your own means of encrypting/decrypting.
If you're developing in C#, or virtually any .NET, environment you need to be aware that there are some readily available programs that can decompile your program into a semblance of your original source.
Lilith, Night Butterfly
I'm not a programmer but I play one in the office