Answer by Michael Frank for How can I make AutoHotkey scripts work on computers without AutoHotkey installed?

AutoHotKey includes a script compiler with it's installer.

There are a few ways to use the script compiler:

• Run the convert .ahk to .exe Start Menu item under the AutoHotKey folder.
• Right Click in Explorer any .ahk file and select Compile Script. This method is only available if you selected the compiler during installation.
• Use the Command Line:

Ahk2Exe.exe /in MyScript.ahk [/out MyScript.exe] [/icon MyIcon.ico] [/bin AutoHotkeySC.bin] [/mpress 0or1]

Example:

Ahk2Exe.exe /in "MyScript.ahk" /icon "MyIcon.ico"

Source: http://ahkscript.org/docs/Scripts.htm#ahk2exe