As @Ganesh R. stated in the comments, the thing to look into is self-extracting archive executables. There are several utilities you can use to make these (WinZip, WinRAR, etc.) but the easiest (and free-est) for most people is 7-Zip. There are a lot of great answers and walkthroughs here on superuser.
I understand you'll be using it as portable software, but keep in mind that with default settings users will have the same access to the executable as they would to a batch file - it does not require administrative privileges to run it. If you're looking to keep it safer you may also want to consider changing its permissions, making it hidden, and/or encrypting it.