There is a program that can turn Scratch projects into Exe, but you can't really make them run in anything but Scratch.
You can read more about that program here: http://scratch.mit.edu/forums/viewtopic.php?id=4148
I know what you're thinking! "Neptune! Get rid of those filthy advertisements and give us back the Zarathustra siggy, you horrible person!" Well, don't worry about it, the Zara siggy will be back soon, new and improved! ^^ Meanwhile, just do what the sig tells you to. >.>