How can I make .exe for sql script

At the simplest level you can create a batch file to run your sql scripts.

Something like:

cd "C:\Program Files\Microsoft SQL Server\100\Tools\Binn"
SQLCMD -E -S .\SQLExpress2008 -i "E:\SQLExpress 2008\Publishers\InstPubs.sql" -o "E:\SQLExpress 2008\Publishers\InstPubs.rpt"

Look up SQLCMD[^] here.

You can write a PowerShell script to do it as here[^]

You can use SSMS (Sql Server Management Studio) to schedule a job: as here[^]

Or you can write an application in the language of your choice to do it for you.