If you export to HTML5 you find a index.html file (the default start file with HTML), just open it (with an internet explorer).
If you dislike the warning remove this lines from index.html (works with simple projects):
// Issue a warning if trying to preview an exported project on disk.
// Check for running exported on file protocol
if (window.location.protocol.substr(0, 4) === "file")
alert("Exported games won't work until you upload them. (When running on the file:/// protocol, browsers block many features from working for security reasons.)");
for Android, Phonegap, Intel AGI, Chrome Web Store it's more work. Please refer to the tutorials at scirra.com for detailed informations...
If you like to have a non-html-version use the Node-Webkit (you'll get an executable file).