I have seen it done in MATLAB before. You need the compiler though which cost more then 3 times the price of a commercial license of matlab last time I checked. I dont think it is quite a simple as getting a pretty little exe out that will run on the host system. The host also need the matlab run time library installed which is a couple hundred meg in size.
Unless you really need to use matlab, I would suggest something like:
Python + Numpy + py2exe
That will allow you to develop and distribute your program as you like without spending a fortune on the matlab compiler. Of course it isn't as powerful as matlab in terms of graphical plotting however the Numpy module has a matlab like syntax and uses the same underlying BLAS / LAPACK library so it can perform many functions just as fast. If data processing is all you need then I would seriously consider this.
In short, if you want to distribute your program as a stand alone application then in my opinion your better off writing it in a compiled language or writing it in a language like python that can bundle the source into a exe.
Just my 2 cents.