Windows

A Lua project needs no compiler. Download the Lua bundle for windows-amd64, unzip it, and put your script where the executable looks for it:

my_game/
├── data/
│   └── main.lua
└── natiny.exe

natiny.exe

natiny.exe runs data/main.lua from beside itself, so relative paths inside the script mean the same thing whichever directory you started it from. Name another file to run that one instead:

natiny.exe data/experiment.lua

Dropping a .lua file onto the executable does the same thing.

To ship, ship the folder. natiny.exe needs nothing else installed: every library it uses is part of Windows.