First of all some of you may have seen flash games that you can download to your computer and possibly install them first - well usually the install bit requires a little extra work (which I am willing to give if anyone needs help) but what were concerned with is that they often use an .exe file as the format for the main flash file and not a .swf.
This may be because .exe's are harder to decompile than a plain .swf file but also it makes it feel just a bit more professional in some wierd way. A lot of the time this way though users who don't have Flash installed on their machines can play your files without requiring extra work - this is because all thats needed to play the files are stored in the .exe - but be aware that creating a .exe will increase the filesize quite a bit. So use it whenever you feel necessary.
All you need is an Adobe Flash Player. If you have pretty much any version of flash already on your machine then chances are high that you will already have it installed somewhere - usually floating around the same folder as the main flash application itself.
What you do next is to open your .swf file in the Flash Player and hit "File" at the top then click "Create Projector" (as shown in the attachment). When the dialogue box opens, type a filename and select a location for your file and continue - this will then make it a .exe.