sh2exe

This small program packs a shell script and Busybox into a single EXE, so the script can run on any Windows machine. It is possible to include another files along with the script, so this can be used to deploy files, for example. This is an initial version, probably has a lot of bugs.

It supports Busybox-Win32 and Cygwin Busybox.

This is NOT a compiler neither encrypter, if you need something like this you can take a look at SHC Shell Compiler.

It is possible also to unpack the embedded Busybox versions to a directory and use this environment to create/test scripts prior to pack them into an executable.

I'm not sure if all anti-virus accepts a program of this nature, as the scripts operates in %TMP%. I made some tests, tried to run some scripts and download things with wget, didn’t trigger the AV alarm in following environments:
Win7 + Symantec Endpoint Protection
Win10 + Kasperky Internet Security
WinXP + AVG Free Edition
WinXP + Avast Free Edition