No, Monica, I'm afraid it isn't very simple.

Let's break it down. First, the reason that you have a vbg file is to be able to debug across intraprocess project boundaries without having two instances of the VB IDE running. It has NO (repeat NO) implications as regards compiled code. I believe you're having problems because you're not quite clear on this.
I assume that you're telling me that you have one Standard EXE project and two ActiveX DLL projects that are all contained in one group. I also assume that you have set your EXE project as the startup one. Given all that, to debug, open the EXE project (click on it in the project explorer window, and go into references. You should see your ActiveX DLL component names, and possibly twice (twice if you've already compiled the code). If you see one of them twice, you'll notice that you have one reference to a DLL file and one reference to a VBP (!) file. You'll want to select that one, since that is the uncompiled version so you can step through it.
Now, when you say "install on a different machine", I'm not clear whether you mean "deploy the compiled version" or "copy the source code to another machine and use the VB IDE there". I'm going to assume the latter. If you do this, you have to make sure that all the files are in exactly the same directory structure as the source machine, because VB can't see files in a new directory. The vbg file, for example, looks for each vbp file associated with it in the path that it was in when you saved the vbg file. So, the way to change this is to open, for example, the vbg file, manually add the missing projects in again, and resave the file.
If you're talking about deploying compiled code, say so and we can go over that a bit.
HTH
Bob