SelfExtract can help you to create Self-Extracted Executable. It allow you to create a Self-Extracted executable with minimal overhead.
When the operating system is executing an executable file, it knows how to execute it due to the PE header which is a big table that holds all the information regarding the executable and what it holds (the different sections) in the beginning of the file.

The license of this software is Freeware, you can free download and free use this file compression software.