Since I did not really felt like asking all the future users of my app to install the .NET framework, I started looking for a way of embedding these libs in my final app.

While it is apparently not possible to do so without requiring a special (commercial) tool, there is a workaround that worked for me. By forcing the C/C++ to by statically linked the framework functions actually are embedded into the EXE (which, btw, gets much bigger then).

To do so (in Visual Studio .NET 2008 C/C++, Express) do:
Property Page -> Configuration Properties -> C/C++ -> Code Generation then “Runtime Library” should be set to an “non-dll” option such as Multi-threaded (for the release target) or Multi-threaded Debug (to debug your app).

Here we go!

Sources:
http://stackoverflow.com/questions/271290/can-visual-studio-2008-standard-create-a-single-exe-that-does-not-require-net-fr

http://social.msdn.microsoft.com/Forums/en-US/vcgeneral/thread/36971526-95f3-4a9f-a601-1843c86332c1