There are a few commercial products out there that allow you to turn your php scripts into an executable. While most of them work well, I have found a way to do it for free, using an open source application. This application is called Wapache (based on the apache web server) and it is open source (distributed under the Apache License 2.0). WApache doesn't convert your script directly into an executable, it runs on the combination of a windows app (which uses an embedded IE control) and a stripped down version of apache.
The tool acts as a wrapper around the script, making it look and feel like a normal executable Windows file. Your PHP scripts stay intact and can be changed at any time without needing to recompile or anything. There's also some configuration options included that let you customize the interface.