Answer:
Press Windows + R and then iexpress.exe.
Create a new Self Extracting Directive and select "Extract files and run an installation command."
Follow the instructions
Add the script you want, and make sure that on the next screen, you set the install program to cmd /c [your_script_name.bat]
Select preferences (you might need to select "Store files using Long File Name inside Package), set the output path to the .exe file you want to create, and select "No restart".
Click next and you should have your .exe!
