I use srlua[1] to pack my application for distribution as an exe. You can build srlua with Lua 5.1, 5.2 or 5.3 and also include the relevant windows manifest to take advantage of XP/Vista visual effects if you have any GUI programming in Lua. You can also include a application icon. srlua takes and embeds 1 lua file. So if your code spans multiple lua file as mine does I use the many2one [2] utility to make a single Lua file and combine it all the Lua files into 1. That is a small Lua script which is very simple conceptually and easily understandable.
After using many2One and then srlua I just have a single executable and then I distribute that with all the required dll files. I think it is possible to include all the dll's in the srlua compilation so that in the end you are just left with 1 exe but I haven't done that myself.
Regards,
Milind