On Windows, there is no 1 way of distributing desktop applications. There are several several options. You can distribute it as a Windows MSI install file. You can deliver it as a non-standard EXE install file or self-extracting executable. You can package/distribute it via a zip file (this is the simplest solution). You can deliver it as an CD *.iso. And then there are app stores such as Steam and GOG which have their own app packaging systems.
My point being is that it’s up to you to decide on how to best package and distribute your app. The app ecosystem on the Windows desktop is nothing like Android or iOS where there is only 1 standard way of delivering apps. But in a way this is kind of a good thing because you can choose what best works for you.
Case in point, our Corona SDK is distributed as an MSI install program which people can download directly from our website. This is a very common means of distributing Windows desktop apps.
Note that creating an install program (MSI or EXE) means you’ll need to use a 3rd party tool to create that install program. Most of these installation program creation tools are not free. The most commonly used ones are InstallShield, Wise, Advanced Installer, etc. And also realize that an install program is a program itself, meaning that you have to develop it kind of like an application (design, configure, maybe script, and lots of testing on different OS versions).
Also, digitally signing your app is not free either. You have to pay for a digital certificate. Note that all this does is merely sign your app with your company’s identify so that Windows and Anti-virus software won’t red flag it. How you sign your app, particularly how you timestamp it with the signature, depends on where you purchased your digital certificate from.
The Windows desktop app development market is huge and there is lots of information you can find for the above on the Internet. It’ll require some research on your end, but it’s not that difficult. A lot of 3rd party commercial tools for Windows exist to help make it easier, if you’re willing to pay.
Good luck! 