Flash Builder is a simple and easy-to-use tool which can quickly convert any SWF Flash movie into a Windows exe file.
The resulting executable doesn't have a standard Windows border, and in fact can be any shape, or even be animated. So if you're looking to create some spectacular animation as a front end to something else then Flash Builder could be the perfect solution.
It's also reasonably configurable, allowing you to set your own application, add a JPG image as a splash screen, even automatically create the appropriate autorun.inf file to launch your app on a CD or DVD.
And if that's not enough, then a set of advanced FSCommand functions can extend your Flash movie with additional capabilities: these can set your window title, drag or resize the window according to mouse movements, execute files and more. The author's website has the details, including embedded YouTube movies and sample files to walk you through various tasks.