You can not convert an sql script to executable. This is clear nonsense.
Still, your requirement itself makes sense.
First of all, you can concatenate the scripts, thus you can get a single one.
You can also use
sqlcmd utility[
^] to execute the scripts. So you can simply create a batch or vbs script that scans a folder for files with sql extension for example and executes them one by one. Or you can use even powershell for that.
Of course, you could convert your sql files to resources, and embed them into an executable that is
will execute them against the sql server and the database[
^]. But you have to consider if you really need this. It depends on how experienced users will use this at the end for example. If the client could live with executing scripts one by one, a simple batch script would be also a huge leap, but for users without any SYSDBA experience I would make this executable. But again: it is not a "conversion". You need to make one for your own purposes.