How to convert gw-basic programs to "exe" extension?
What you're talking about is compiling the BAS file to an executable. There are three immediate and essentially free options:
BASCOM which is a program you can find on KindlyRat's GWBASIC site. This program was intended for BASICA, IBM's version of BASIC for DOS and the precursor to GW-BASIC. It will handle both the binary and ASCII format BAS files and supports pretty much everything except EGA (certain SCREEN modes).
QuickBASIC 4.5 which is the direct successor to GW-BASIC and can handle probably 95% of all GW-BASIC programs with the exception of those that rely on more esoteric features. You can find it at phatcode.net.
FreeBASIC has little development going on, but it theoretically handles almost all QB programs and so, again theoretically, will handle GW-BASIC programs as well. Find it and more information at http://www.freebasic.net/.
Backstory: I keep seeing this question, asked on Yahoo! Answers, come up in search results. It's two years too late and the question is set to resolved, but I had to add some more information.