Convert .sh file into .exe file

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http://www.unix.com – Currently im using putty to execute .sh file. This file is currently saved onto a server. The .sh file tries to get files from other server and load the files into the current server. Now i want this .sh file to run as an .exe file on my desktop. So that by just double clicking the file and by giving the server's username and password, the file can be executed. Is this possible to do???? (HowTos)