From the JSLabs blog today, there's a mini-tutorial on how to convert your PHP files into executable files (.exe) to be used on Windows.
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 does the trick by combining your script with stripped down versions of an IE browser and an Apache web server. This is compiled together and pushed out the other end as an executable file. Instructions are included in the post to get you started making the .exe files quickly.