Greetings,
I have a couple of apps I have built for use in my company the most recent being a Dynamic DNS Client for distribution to our customers (We are an ISP). I for my own use simply create batch files on my windows box and shell scripts on my Macbook. However, our customers may not trust a batch file so I came across the following:
http://www.battoexe.com/
This small program will convert a batch file to an executable, it also has a "Ghost" mode so a command prompt does not open which typically does on a batch file.
Then I use Inno Setup (http://www.jrsoftware.org/isinfo.php) to create a installer to install everything on windows for me. It gives a nice professional look and no one ever knows any different.
XP (not sure about Vista) has a nice utility iexpress which is located in the system32 directory, which will do similar to what I am doing above, however the command prompt still will open up.
The above method has worked on both XP, Vista, and 98 so far. With no complaints.
HTH,
Nitro7