It's unclear how you expect to execute the SAS program, possibly on a remote server machine where SAS is in fact installed and running? Given you post, I'd say that you will need to consider the software license agreement implications, if you are asking about executing / using a "SAS program" on a system where SAS is not licensed and/or installed -- pretty much an unreasonable request, from one perspective.
Sorry, I'm still not understanding it. You want to RUN (execute) a SAS program on a system that does NOT have SAS accessible to it???
I think you might want to work with Tech Support on this question. SAS can operate in the context of .NET using SAS Integration Technology, however, I am not sure this is what you mean. Rather than play 20 questions, it might be better for you to open a track with Tech Support directly.
To expand on Barry's answer, SAS is not architected in the same way that a simple compile and execute computer language is (eg BASIC, C etc). For example, consider SAS's library of procedures (PROC xxx). There are hundreds of these and each is a bunch of executables in its own right. The idea of packaging these up is mind-boggling!
BTW, this used to be a frequent question when I did SAS tech support many moons ago!
However with SAS's thin client tools (Enterprise Guide, Web Report Studio etc) you can run SAS jobs without SAS installed as long as you have access to a SAS server.
Not quite sure what you mean by "EXE" file?? Possibilities:
1) Do you want to make a zip archive of the results from a SAS program??? So that the end user can view the HTML, RTF or PDF results???
2) Or, do you want to have your SAS dataset viewable on another system?? Or you want to have a SAS dataset viewable by someone who does not have SAS on their system or accessible to them?