How can I convert .swf file to exe file?

to convert a swf to exe just open the swf alone then go to file > create projector this will create a standalone exe file that will run on virtualy any PC computer with or without the flash player

You wouldn't convert a swf to an exe, unless you were creating a self-launching zip file, but that's a function of winZip and other compression apps, and all the exe will do is produce the swf file, it won't open it.

Other than that route, if all you have is the swf file, somebody with more experience than me will have to comment if it's possible to convert a swf to an exe that launches the Flash object.

Now, I think what you want to do is publish a Windows projector (exe) from the .fla file. If you have access to the .fla file, luckily it's very easy to do this.

So when you open the project in Flash, go to the File menu, select Publish Settings, and now you can choose from all the different types of files you can publsh to. Select Windows Projector (exe) and deselect any that you don't want.
Now click publish. Wherever it published to, you will find an exe file that you can open like any other app, and it will run the flash object.