I have been developing a game for quite some time now, and it depends on various folders with images and .dlls to run. Is there a program that can package the .exe with all of the folders/images/.dlls that it depends on into one .exe? If so, that would be great. If not, I wouldn't expect there to be one.
I am not looking for a single-click installer
If you want a nice exercise that will keep you busy for a couple weeks, try implementing part of the ZIP format, plus a streams library that will let you transparently access loaded ZIP files, the file system, or in-memory files.
Ideally, a usage would look something like this: