In Feburary 2016 20,
Navigate to the AutoHotkey file you would like to compile in Windows. It will have an '.ahk' suffix.
Right click on the file. The Explorer context menu will have a 'compile script' option. Click on the option to compile the script. This generates an '.exe' version of the AutoHotkey script with the same name.
Run the exe file by double-clicking on it. The script will now run as an exe file.
In Feburary 2016 20,