Oh I forgot to answer that que by baba

If u r lazy and want everything 2 b dun by soft
then install NSIS 2 installer
Its a free installer with complicated scripting

developed to install Winamp

Create a zip file of the content u want to install
Then there is a "Zip to EXE" convertor in this prog
use that and u hav exe file compressed with size smaller
than the zip file