sh2exe
Packs a shell script and busybox into a single exe file
... Busybox versions to a directory and use this environment to create/test scripts prior to pack them into an executable.
I'm not sure if all anti-virus accepts a program of this nature, as the scripts operates in %TMP%. I made some tests, tried to run some scripts and download things with wget, didn’t trigger the AV alarm in following environments:
Win7 + Symantec Endpoint Protection
Win10 + Kasperky Internet Security
WinXP + AVG Free Edition
WinXP + Avast Free Edition