Do you need a self-extracting zip file or just a self extracting file?

If you're trying to do this for a Unix type environment then you could create self extracting shell script (http://linux.org.mt/article/selfextract). I use this at work to create self installing patches... works nice.

If you're trying to do this for MS Windows then I'm thinking that you might be able to combine TinyPerl (http://tinyperl.sourceforge.net) with the concept from the self extracting shell script above to get the job done. I'm thinking something along the lines of a Perl script ends with __DATA__ and is concatenated w/the (possibly uuencoded) payload and then compiled-- such that when run it pipes the data to a file and goes from there. I haven't tried this so it's just a guess...