Some more information would be helpful. Can you define what you mean by creating an EXE ?
a) You want to dump/generate some DB source code at runtime (when your program is running) then compile it.
This is possible, but requires the inclusion the Db compiler. Which isn't legal.
However, if you're making a tool for other DB users to use, (such as an IDE) then the user could locate their installed copy of DB and bob's your uncle.
b) You want to write a compiler in Darkbasic and have it generate a window exe from scrtach. Yes, this is possible, but very complex.
etc