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Do you have batch files/VBS scripts that you'd like to convert into .exe? Here's an easy way to do exactly that. Part of Internet Explorer's Administration Kit includes a utility called IEXPRESS.EXE, which allows you to package a group of files inside an .exe. The utility will extract the files to a temp directory and (optionally) execute a command line.
I use this utility to deploy security patches. I download all the patches for various platforms (Windows NT, Windows 2000, Windows XP, IE5, IE6, etc.), then run a script to determine which version is appropriate. Then I package it all up inside an .exe using the IEXPRESS tool.