As Cableguy wrote, you add your code saved as a text file.
The text file will be copied to the application folder.
Unlike the dll files there is no need to distribute the code with your compiled application as it will be compiled (to the same EXE file).
It is also useful for large projects, to allow you to separate the code into several files.
The disadvantage is that the code file is copied to the app directory so effectively breaking the link to the original code so that any changes made to the original will not be reflected to the copy, and vice versa.