yes you can. scripts are just created by scripting languages. Putting aside the issue of whether you are local or at remote and whether its a web site script, there are tools developed to convert scripts to exe that you can run locally on your computer.
For example, if you have a PHP script, you can probably try out some of the tools mentioned
here.
If you are using Python as a scripting language, py2exe , pyinstaller comes to mind.
If you are using Ruby, things like ocra can do it
If you are using Perl, you can use PAR::Packager , or one of those commercial ones like pdk perl2exe
So, depends on what language you use, you might probably find something along that line.