Why can it not be a zip file? It would be the easiest idea. WinRAR can make .rar files - but again its a zip.
What using WinZip to make a self-extracting .exe - that would be 2 files and not a zip.
A Knight is sworn to Honour. His heart knows only Virtue. His blade defends the helpless. His might upholds the Weak. His word speaks only truth. His wrath undoes the Wicked.