1. Grab WinRaR - 32bit or 64bit and install.
NOTE: WinRar is Shareware. So extract the attachment at the bottom of this post into WinRar's directory...
2. Right click holding Ctrl button on all the target files(xxx.bat, rtmpdump etc...) and click Add to Archive.
3. Name it. Archive format RAR. Compression method best. In the Archiving Options box check all apart from Test archive files.
4. Go to the Advanced tab and click on SFX options.
5. In the Setup Program Box type the name of the xxx.bat you wish to execute.
6. Go to the Modes tab, and check the Unpack to temporary folder and Hide all.
7. Go to the Update tab, and check the Overwrite all files box.
8. In the Text and Icon tab you can change the icon of the file then click Ok and Ok again.
Note: Icons can be downloaded from HERE or HERE.
9. Now you have a EXE file.