Yes, if you are really into pain, you can convert CF to one
EXE.
Remember that this exe would be functioning as a web server,
a Java application server and, finally, running your CF scripts.
You would almost always need database functionality boiled into
that EXE too.
A less painful goal is a standalone application that can
autorun off a CD or USB stick.
The product,
http://www.dwebpro.com/, is
supposedly pretty good and there are also two, well-known free
approaches out there.
See:
http://tutorial453.easycfm.com/
and
http://philcruz.com/cfeverywhere/
.