Today, in 2015, you can use Costura.Fody for this. Using it amounts to adding the NuGet package to your project and recompiling. I’m not sure if it works with Visual Studio 2005 as in the question, but then it’s not year 2008 either. I’ve used it in a few of my projects and it worked great.
Fody is a general purpose Code Weaver that is free and open source. The basic idea that it allows post-processing of the compiled .NET code to enhance it with features. For example, logging can be added to every method call, etc. In our case, it’s packaging the dependent DLL files into the assembly resources, so that they could be loaded during the program runtime as if they were stand-alone dependencies.