I have searched Blender 2.55 through and through, and I cannot find how to create an executable of a game created with Blender. Did they get rid of it, or is it still there?
File / User Preferences / Addons / Game Engine, activate the ‘Save as Runtime’ addon.
http://wiki.blender.org/index.php/Extensions:2.5/Py/Scripts/Game_Engine/Save_As_Runtime