Not really... You can do it, but it involves running IIS or similar in order for it to work - you can't just "run" your website as an application because it isn't one! It's a partial application that is executed on a page by page basis by the web server software.
Having said that, there are a couple of solutions which will let you do it:
google[
^] has some examples.
It's probably more trouble than it's worth though.
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