The solution I've used is Roger Wang's node-webkit.
This is a fantastic way to package nodejs apps and distribute them, it even gives you the option to "bundle" the whole app as a single executable. It supports windows, mac and linux.
Here are some docs on the various options for deploying node-webkit apps, but in a nutshell, you do the following:
Just as an added note - I've shipped several production box/install cd applications using this, and it's worked great. Same app runs on windows, mac, linux and over the web.
Update: the project name has changed to 'nw.js' and is properly located here: nw.js