Hi:
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?
For #1, you could look at the ODS Package destination (new in 9.2) that will create a zip archive of ODS results.
http://support.sas.com/documentation/cdl/en/odsug/61723/HTML/default/a003182789.htm
For #2, you should look at the SAS Universal Viewer, which would allow a SAS dataset and other SAS files to be viewed on other systems.
http://support.sas.com/documentation/cdl/en/univiewerug/63357/PDF/default/univiewerug.pdf
http://support.sas.com/documentation/cdl/en/univiewerug/63357/HTML/default/viewer.htm#/documentation...
Also, for #1, if you are running on the SAS Enterprise Intelligence Platform (also known as the BI Platform), the SAS ".spk" permanent package files are a form of compressed archive that is meant to be opened with the SAS Package Reader.
http://support.sas.com/rnd/itech/doc9/dev_guide/reader/index.html
In addition, this user group paper has an example of calling WinZip via command line interface to create a zip file (and then email it):
http://support.sas.com/resources/papers/proceedings10/084-2010.pdf
cynthia