Convert might be the wrong word, but to save a user having to install something I wondered if a small EXE can be embedded in a web-page (IE only) using ActiveX so it is run when a button is pressed. Obviously a big security hole but is it feasible?
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Urgh, just thinking about it makes me die a little inside.
But yes, package up the exe and the activex in a cab file and use the activex to launch the exe.
Info on packaging up ActiveX cab files is here: http://msdn.microsoft.com/en-us/library/aa751974(v=vs.85).aspx
A bit more information on Inf files (specifically the DestDir bit): http://msdn.microsoft.com/en-us/library/aa741215(v=vs.85).aspx
This would allow you to put the exe in a known location (Windows or System) so that you could execute it from the activex control providing permissions were set correctly