To achieve a single executable that "just runs" on Windows you usually statically link your app and add any needed resources (images, scripts etc.) using the resource system. No special app is needed for that.
That's the standard way to do it. It's the easiest, the fastest and makes least problems to the user.
If you can't do that for any reason you can also create a self extracting archive using one of the popular packers, e.g. 7zip (example here).