After you’ve built your win32 app, you can launch it directly by double clicking on the .exe file. It works directly on any desktop device (PC, laptop, Surface Pro). But if you plan to distribute it, you’d better make a Setup.exe file since that would be more user friendly.
As far as I know, Corona SDK doesn’t give any way to build a setup file, but there are several solutions out there (.net, visual studio, and I know they are several programs that are specialized in creating setup files which are quite simple to use)
But keep in mind that, depending on the distribution platform you plan to use to distribute your app, you may have to follow some specific process (that will include some DRMs, just like on the Apple Store)…