As you do a java -jar app.jar you can do pharo app.image
Now to get an executable, what for?
For installing: check the list for a discussion on using InnoSetup for packaging installers: http://thread.gmane.org/gmane.comp.lang.smalltalk.pharo.devel/63395
For single exe file:�have a look at http://www.abyssmedia.com/quickbfc/ which does interesting black magic (with a touch of ghost mode: http://www.abyssmedia.com/quickbfc/execution-mode.shtml) for single exe appearance.
There is also some pkzip black magic as well. http://www.computing.net/answers/programming/packaging-exe-and-batch-script-in-an-exe/21935.html
For launching: A simple C program doing an exec() of cmd.exe /c pharo.exe app.image would be good enough (some things to be aware of: http://stackoverflow.com/questions/14679058/c-using-exec-in-windows)
I'd be curious to see what UPX (http://upx.sourceforge.net/) does to the pharo.exe BTW.
For a nice icon for your exe, check http://angusj.com/resourcehacker/
Phil