In access there isn't any option to create what is referred to as an EXE, there is a MDE format or if you're using the new 2007 ACCDE for that create a executiable version that would require either MS Access 2007 Installed or MS Access 2007 runtime installed. The Runtime version is available for download from Microsoft.com. It is free.
Please keep in mind that if you're distributing the MDE or ACCDE you have to have some kind of error handling already coded in the file, otherwise if there is any errors at all, the program will just simply quit after displaying some error message and anything that person is working on is lost.
So keep that in mind if you're going to be using the Runtime version of access.
To create an MDE/ACCDE file, you simply select Tools -> Database Utilites -> Create MDE/ACCDE file.
Hope that helps,
Joe P.