I don't know if the method Ben proposes is a good one or has a bug. I tried this on Max 5.0.7, WinXP Professional 32-bit, and I had a problem. Ok, if you try to build a simple .exe application it will close just fine; however the application still runs if you check the Windows Task Manager under the Processes tab. So unless this has a workaround, I believe it can cause far more problems than to solve.
Sorry to reignite an old topic. I've just been trying Ben's method on a standalone built from Max 5.1.9 and it works fine on a Windows 7 machine. However, on Windows XP, even though the application seems to close I get a Windows error message saying "MaxMSP has encountered a problem and needs to close. We are sorry for the inconvenience". It does not continue to run in the background if I check the task manager however.