DuSFX

DuSFX is a simple application to create self-extracting archives. It is NOT an installer application. The application is fully self-providing. You can add multiple files to this self-extractor. The advantage is that you no longer need a license for winzip, winrar or any other application that creates a compressed self-extracting executable.
Status: Beta, not actively developed at the moment.

Download: DuSFX 0.21

Alternative software:
UPX - An executable compressor
InnoSetup - Create professional installation software, result will be a single self-extracting setup.exe