Ever get sick of downloading stuff, installing it, then a week later never using it? I know I do, and I'm to lazy to uninstall it. So I have the thing for you! (Note: this also is great for flash drives) This is my first instructable so please post constructive criticism. :)
Step 1: Tools
In order to do this you will need to obtain a copy of WinRar, and Universal Extractor. You need both If you want to do this with install files.
Step 2: Extract the install file
Extract your install file, in my case I will be doing this with phun.
Step 3: Archive it
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The final step is to archive it into a .sfx archive. Navigate to the folder where everything is, find the .exe that runs the program, and remember the name of it. Open WinRar and navigate to the folder you extracted it to, select all files, and click add to archive at the top. Now change the name of the archive from say, phun.rar, to Phun.exe. It should change it to Phun.sfx.exe. Make sure create SFX archive is checked. Now change the archive format to ZIP and set the compression method to best. Switch to the advanced tab and click on SFX options. Set run after extraction to the name of the .exe that you found earlier. Change to the modes tab, check unpack to a temorary folder and select hide all. Hit OK and then start the compiling of the archive.