I am starting to play around with IronPython, but I can't figure out how to convert any code to executable file that will run on Windows. There has got to be some kind of batch file.

Get SharpDevelop (http://sharpdevelop.net/)

It'll do that for you.
IronPython supports System.Reflection.Emit, and SharpDevelop uses that to create an executable.

Of course, you can also use the pyc.py tool included with ipy, but I prefer SharpDevelop.

I'm so glad I'm not the only one who uses IronPython. It's awesome isn't it.