We consider QCD radiative corrections to standard model Higgs-boson production in association with a W boson in hadron collisions. We present a fully exclusive calculation up to next-to-next-to-leading order (NNLO) in QCD perturbation theory. To perform this NNLO computation, we use a recently proposed version of the subtraction formalism. Our calculation includes finite-width effects, the leptonic decay of the W boson with its spin correlations, and the decay of the Higgs boson into a bb¯ pair. We present selected numerical results at the Tevatron and the LHC.