Here are a couple possible solutions...
I have not tried all of these myself yet, but I will be trying them all soon.
Note: I do not have any personal or financial connection to any of these tools.
1) VB Script to EXE Converter (NOT Compiler): (Free)
vbs2exe.com.
The exe produced appears to be a true EXE.
From their website:
VBS to EXE is a free online converter that doesn't only convert your vbs files into exe but it also:
1- Encrypt your vbs file source code using 128 bit key.
2- Allows you to call win32 API
3- If you have troubles with windows vista especially when UAC is enabled then you may give VBS to EXE a try.
4- No need for wscript.exe to run your vbs anymore.
5- Your script is never saved to the hard disk like some others converters. it is a TRUE exe not an extractor.
This solution should work even if wscript/cscript is not installed on the computer.
Basically, this creates a true .EXE file. Inside the created .EXE is an "engine" that replaces wscript/cscript, and an encrypted copy of your VB Script code. This replacement engine executes your code IN MEMORY without calling wscript/cscript to do it.
2) Compile and Convert VBS to EXE...:
ExeScript
The current version is 3.5.
This is NOT a Free solution. They have a 15 day trial. After that, you need to buy a license for a hefty $44.96 (Home License/noncommercial), or $89.95 (Business License/commercial usage).
It seems to work in a similar way to the previous solution.
According to a forum post there:
Post: "A Exe file still need Windows Scripting Host (WSH) ??"
WSH is not required if "Compile" option was used, since ExeScript
implements it's own scripting host. ...
3) Encrypt the script with Microsoft's ".vbs to .vbe" encryption tool.
Apparently, this does not work for Windows 7/8, and it is possible there are ways to "decrypt" the .vbe file. At the time of writing this, I could not find a working link to download this. If I find one, I will add it to this answer.