What is the best way to deploy my game?

If it's possible, use some intallation program. The advantages are obvious; it will create all the icons, start menu group and uninstall information for you.
When you create shortcuts for running the game, always create TWO of them:

1) A shortcut to run a game. The command line will look like this:

c:\Path\MyGame.exe

2) A shortcut to allow the player to review his game settings. The command line:

c:\Path\MyGame.exe -detect

The “-detect” parameter will make WME to display the settings window at startup. Normally this window is only displayed at first run and it won't appear again (unless the game crashes).

Let the installation program to create an uninstall icon in the start menu. It's a good practice, since the player doesn't have to unistall the game from some hidden place in the Control Panel.

Consider disallowing the windowed mode. The windowed mode is primarily intended for development purposes. You my want to disable it in the finished game not to confuse the player. Just set the “Allow windowed” property in Project Man?. Note that there are two “Allow windowed” properties in Project Man?, one for the debug mode, and one for the normal mode. This way you can disable the windowed forfor the player, but you'll still be able to use it while developing the game.

Inno Setup – http://www.jrsoftware.org
This installer is very easy to use, yet still powerful. The latest version allows even such advanced features as multilingual support or scripting. Free, open source (Delphi).

NSIS – http://nsis.sourceforge.net/home/
This installer is scripting based, it allows you to create (almost) everything using the scripting. Unfortunately the scripting language is a little awkward, but very very powerful. NSIS also allows you to use custom DLL plugins. Free, open source (C++).