Creating executable - folder

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Is there a way of creating self-exetractor by already created program?
I found a great method of making self-extractor on codeproject
http://www.codeproject.com/Articles/4221/Adding-and-extracting-binary-resources
but it puts files into .exe only when compiling.
I need a function of a program that would put, store, write some files to another .exe program, from which I could extract those files later. I care about putting those files to one self-extractor more than compression.

I suppose it requires some experience in creating development tools themselves, so maybe there is a way of borrowing something from, say, MS Visual C++?

Maybe it's possible with zlib library (since its programs does the part where you put files to one file, but again, I want those files to be in exe)?

Do I need to create a program which writes a new program each time (rather than adding files to existing exe) along with my fixed code which would apply everytime?
Or can I create a program that would add files to itself, like WinZip or WinRar(that would do too)?

Any help would be appreciated.