Who is your target audience? Is it people who are already parser fans/regularly play parser games, or a group of new people?
Among people that play IFComp games, for instance, or that use this forum, downloadable .exe files tend to do very poorly, as blorb files have a versatility in that interpreters exist on almost every platform, while .exe come with security warnings and don’t work on all platforms.
If you’re targeting people who’ve never played parser games before, then a web site would make the most sense. But:
So you could use Vorple instead, a web player that includes background, text colors, images and sounds. (here is an example: Jim Munroe - Guilded Youth — Play)
But if you still want a downloadable executable (for steam or whatever), bundling with Lectrote is probably your best option, as detailed in this thread: