Here is how you can convert any BAT or CMD script into an EXE file using WinRAR: So if you have created a batch file and want to convert it into an EXE file for the ease of use, then you can do so easily using the WinRAR archiver. For making them a little bit easier to use, you can convert them into the regular EXE files. Even though these are very helpful files, not many people are able to use them properly. The batch files usually have the BAT file extension. A batch file in Windows is one of the files having a list of commands that would be executed sequentially one after another if you happen to run that batch file.