Bambalam PHP EXE Compiler/Embedder is a free command line tool to convert PHP applications to standalone Windows .exe applications. The exe files produced are totally standalone, no need for php dlls etc. The php code is encoded using the Turck MMCache Encode library so it's a good solution if you want to distribute your application while protecting your source code.
The converter is also suitable for producing .exe files for windowed PHP applications (created using for example the WinBinder library, or with PHP-GTK). It's also good for making stand-alone PHP Socket servers/clients (the php_sockets extension is included in the static build).
You can find out more about this free tool from their website or just download a copy and start checking it out.