You need the following programs to convert Youtube videos to exe files:
Flash2X Flash Hunter is able to download Youtube videos and save them as FLV files on your computer. FLV is a video format for flash. To learn more, please read How to download Youtube videos.
After you save Youtube videos as FLV files on your computer, you can use Flash2X EXE Packager to convert them to executable files. The exe files generated by the program come with a built-in player for playback of the videos. You are able to customize the built-in player when you generate the exe files with the program.