You can use it to create a zip archive but not an executable.
This is probably just as well. People should learn to avoid downloading executables. Also, if you compile an executable for Windows 32, what if they are using Mac or Linux - they wouldn't have access to the content? What if your server cannot compile Windows executables, etc.?
Of course, if you need executables for a specific platform you can set up a server on that platform and use PHP to execute any program you please (e.g. Winzip) to create an executable self-extracting archive.