You need the following programs to download a flash game and save it as exe file:
Flash2X Flash Hunter is able to download flash games as SWF files and save them on your computer. SWF is flash file which can be played with Flash2X Flash Player.
To convert flash to exe files, you need Flash2X EXE Packager. Once exe file of the flash game is generated, you can copy it to other computers and play the game like a standalone Windows application.