How do you make an exe file?

How do I archive a bunch of files into one and make it an executable? I have a folder with a .swf file and a bunch of folders with files for the .swf, the swf file is a small flash game and it runs when I double click on it.

How can I compile all the files into an exe that runs the swf?

 

Without the full Flash you need a swf to exe program. If the files/folders are external to the swf you may pack it with something like http://www.pgware.com/products/alloy/ .
There are other free 'rappers' but most are seens as hack tools for binding viri with a legit exe. Silkrope comes to mind.

others:

http://www.alternate-tools.com/pages/c_exepacker.php?lang=ENG