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 ...

As you can see, converting a PowerShell script into an EXE file is a simple process. Even so, there are a couple of things that you need to know before you try this out on your own.

How to Convert a .BAT file or .VBS file into .EXE to Enable Pinning to XP Start Menu [renegadetech.blogspot.com] ...