Converting .blend files to .exe directly in Blender

Create a new folder and copy into it the dll's from the Blender Installation folder. On Windows  it would be under C:\Program Files\Blender Foundation\Blender. Copy the required dll's (link to the list provided at the end) into the folder).

Then open Blender. Click on File>Save Runtime. Save as .exe into the folder you just created. Aand you're done.

The method is OS dependent though. Doing this on Windows will produce an exe that is only Windows compatible. The required DLL's need to be in the same folder as the .exe for smooth functioning.

[edit] It slipped my mind that Nitin had worked on this earlier and had given a presentation quite some time ago. For some reason it wasn't posted here and I searched it again. My apologies for not mentioning him.

To run the .exe in fullscreen, Go into to the scene menu (F10) and on the far right you will see "Game Frame Settings" click that, another menu will appear and there will be a button saying "Fullscreen".

[edit] The complete list of the required dll's can be found here.