The web app can be useful if you need to convert files quickly. However, if you want more customizations, I recommend using the Windows application instead. Bat to Exe Converter is a great add-on ...

Figure 1. I have converted a PowerShell script into .EXE format. Figure 2 confirms that I was able to run the newly created executable file. [Click on image for larger view.] Figure 2.

Renegade's Random Tech weblog has a simple how-to for converting batch or .VBS scripts into executable forms using a lesser-known Windows program called IExpress.