More specifically, take a look at
http://wiki.tcl.tk/8900. You need a Tcl executable (I'd suggest either a Tclkit or one of the ActiveState 'basekits', which can be obtained from an ActiveTcl install or teapot), and the sdx.kit utility.
Something to edit/replace both the icons and the file information for the newly-created .exe are also useful (otherwise they show Tcl and Tk/ActiveState defaults); I think sdx can do at least the second of those, but I use the "Resource Hacker" program for both, personally.