As a matter of fact there is a way to achieve solution that would meet your requirements. Have a look at the article on Deploying Desktop Apps with R on R-Bloggers. As detailed in the article, you will end up using a few more things than a single exe file.
Also I would like to draw your attention to the RGtk2 with use of the RGtk2 you could attempt to develop your own interface in R. If push comes to shove, I trust that you could pack your R code together with a portable version of R and dependencies into one installer and make and app from that, that would create an illusion of a single exe file.
In your question you asked whether it's easy to develop a standalone executable file interpreting R code. I wouldn't say it's easy. If you have a strong desire to run a R code from an application, you could do it in a simpler manner using RCaller for Java or R.NET.
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