This is the "official" manual way. It involves opening your SWF in a standalone version of the Flash Player and using a built-in feature to "bundle" the player and your file together.
If you need more control over the conversion process or want to convert large files, using a desktop software is a better option. There are several desktop software programs available that can convert SWF to EXE, including: how to convert swf to exe link
Here are the most reliable methods to get the job done today. 1. Using the Flash Player Projector (Official Method) This is the "official" manual way