I recently put together a little utility that I call Convert to EXE. Although the PortableApps.com suite does now allow you to add batch files to the menu, when they launch you still get an ugly cmd window. My tool will launch any file, and does so with a hidden cmd window. This is ideal for adding apps that use batch files to make registry updates before and after they execute. With convert to exe, they will launch a bit more seamlessly since you'll never see a cmd window.
The tool works by generating some VBScript and encapsulating it within a 7-zip self-extracting archive. The VBScript in the SFX creates a batch file that launches the file you provided. That batch file is launched in a hidden cmd window, so you'll never see it.
I've also posted the source code and a batch file to "compile" Convert to EXE. It doesn't really compile anything, it just creates a SFX archive in very much the same way the tool builds other SFX archives to launch your files. Because it uses VBScript, the computers you use it with (and any EXE files you create with it) will need WScript to work.