Ok, you have the code to compile an exe now all you need to do is add a the script to that exe as a resource.
Then when you run the newly created exe you use open the resource and run the script directly from memory
Here are some code snippets on how to do what I just explain (note I don't know much about compiling .net code from .net so your on your own on how to use a resource file when you compile it)
To make the .resources file that you compile into the newly created exe
ResourceWriter rw = new
byte data = File.ReadAllBytes(scriptFile);
And to read the resource and do something with it
ResourceManager rm = new
byte data = (byte)rm.GetObject("script");
UTF8Encoding encoder = new
string text = encoder.GetString(data);
Hope that is of some help if you still need help I'll write a sample program I couldn't do it tonight because something came up.