First of all I'd like to point out that I don't know what I am doing.
This is really just a PoC (proof of concept).
I didn't try compiling the python to exe.
I was playing around with Python and Webkit and was ablt to render a Construct2 game as a program independent of the browser, so it looks more like a regular program.
Here's a pic:
<img src="http://dl.dropbox.com/u/11384284/desktop.JPG" border="0" />
I left the "Made with Construct" bit to show what was happening.
I used a python wrapper for webkit but your could use C++ or C#.
On a side note another way (haven't tried it yet) is just to code up a form (program screen) with an embeded browser using C# or VB.Net, which opens index.html in the same folder. You could even put an decryption routine in the program so your html files can stay encrypted on disk.
If anyone is interested here's the python code from the PoC (you also need python, pyGTK and pyWebkitGTK installed). Should work on windows or linux.
win = gtk.Window()
bro = webkit.WebView()
bro.open("C:\Documents and Settings\Frankie\Desktop\8bit Mage\index.html")