Is it possible to compile components' DLLs into EXE?

Or I must distibute all of them with program like:

Progam.exe 

Xceed.Editors.dll

Xceed.Editors.xml

Xceed.Grid.dll

Xceed.Grid.xml

Xceed.UI.dll

Xceed.UI.xml

Xceed.Validation.dll

Xceed.Validation.xml

Are XMLs necessary? Can I rename DLLs or join them into one DLL file?

It is not possible to compile the dll into an exe, unless you have the source code of the dlls, and use that source code in your project instead of the dll references. 

You need to deploy all the dlls along your exe, but you don't need the xml files.

Isn't it possible to put the DLLs into the main executable using the ILMERGE tool?

http://www.microsoft.com/downloads/details.aspx?familyid=22914587-b4ad-4eae-87cf-b14ae6a939b0&displaylang=en