Under the Project menu select Settings... (or press Alt+F7). Under the first tab is a combo box allowing to specify how to use MFC, just switch to static linking there.
Another thing you might want to consider is this: You've indicated that the required DLL is MFC42D.DLL - a DLL that contains debugging information. Chances are you are trying to distribute a program that was compiled using the debug configuration - which means your exe also has debugging information in it.
If your program is ready for distribution, you can make a smaller exe by changing the active configuration to release (under the build menu select Active configuration... and switch to Win32 Release). A release build will be smaller and faster than a debug build because all that erroneous debugging info is stripped out. BTW, this is not the same as statically linking. Instead of using MFC42D.DLL it will be using MFC42.DLL unless you also change the settings for a static link.