As Yaraslau said, you can then merge the .exe files, but I have no idea how.
Yaraslau if you can explain or point to a resource that does, that'd be great.
It's pleasure for me to help.
There are three known (at least for me) program (two shareware and one freeware), which can merge different .exe's. More correct: which can merge .exe with other types of files (.ico, jpg, dll...whatever you want).
The most simple way (BoxedApp Packer):
It's shareware, but you can contact me by pm to help with this.
If you need more progs - drop a line here.