.NET is always compiled before executing. When you click the Run button, the first things Visual Studio will do is compile the necessary code, then run the application. While running in Visual Studio, the application is "hosted" meaning that Visual Studio maintains control of it for debugging purposes.
If you use Windows Explorer to browse the directories, you will find a directory of AdvancedHMI/bin/debug. In this directory is the exe file. This file can be executed outside of Visual Studio.
Generally the "Build->Build Solution" is used to check the program for errors. When you click the Run, the Build action is performed automatically.
The recommended practice for AdvancedHMI is to develop your application in Visual Studio and Run it to test. After completed, copy the entire Solution to the target PC and create a shortcut to the AdvancedHMI\bin\debug\AdvancedHMI.exe file
Since AdvancedHMI or any Visual Studio application is a .NET app, it will require .NET framework installed on the target machine. This is not necessary on your development PC because when you install VS, the framework is also installed.
As a practice, I perform all of the Windows Updates, which includes all of the .NET frameworks.