Make SFX is a free program that lets you make self-extracting archives under Win32 platform. You can create a SFX module simple in three steps:

Select source folder containing the files you want to pack into SFX module.
Select executable file from the source folder. This file will be executed after SFX unpack.
Enter the name of the target SFX file.

Make SFX is particularly usable for creating installation programs.