If you are running on Windows, there is a utility made by Jens that you might want to check out here:
http://chirp.scratchr.org/scratch2exe.html
I remember seeing a forum thread for a Mac version of sorts as well but I can't find it at the moment.
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http://scratch.mit.edu/forums/viewtopic.php?id=12930
is the Mac version (You gotta read instructions.)
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