Well, it all depends on what you will need to run the site...
There are some considerations related to "publishing" a web site... i.e. if you need PHP and the computer in which you want to run it don't have a PHP motor installed you won't get it working...
Anyway, the best way to create an installation exe would be to use an installation software like
inno setup[
^] or
installshield[
^]...
with both of them you will be able to create an environment to install/copy/adjuts things... let's hope I've understood your requirement...
HTH!.