It is time to submit this app
Portable: 1 executable, no registry entries, no .NET
Direct Download: http://www.f2ko.de/downloads/Bat_To_Exe_Converter.zip
Bat_To_Exe compiles .bat and .cmd files into .exe files, embedding any necessary binaries in the process.
Can run the compiled batch file as a Dos Window, or as "ghost" (invisible),
Can add icons, binaries, version information
Hides the source code of the batch file (autodeletes the batch file after running)
GUI or command-line options for creating compiled batch files.
What I like best is the ghost application aspect, so for all intents and purposes the final product is a Win32 app. (I have only done a bit of testing on Vista so far, but it looks good, if the console app is vista compatible). I also use Horst Schaeffer's Win32 batch utilities to make simple GUIs for some of my batches, making the product fully portable and interactive.