You might have encountered
.exe files that extract in a specific location, run another executable file and delete what was extracted, so that you feel confortable, and intervene in very few steps, while many processes where running, and some of them were being executed without your knowledge. This method is currently used by many software developpers,
How To Make An Installation File From A Compressed Archive?
1. Select the winrar archive that you desired to transform it to an installation file.
I will use I-Lock as an example. 
2. Open the archive using Winrar, then on the top of the new opened window select
Tools--->Convert archives (or Alt+Q)
AND NOT Convert to SFX (because this doesn't allow you to Split the archives) 
3. Select
Compression 
4. Select
Create SFX archive
5. Choose the compression method you want.
6. For more compression select
Create solid archive
7.
(Optional) Choose size of volumes, this will Split the archive in many volume
example: 2100Mb in 3x700Mb 
8. In the
Advanced Tab, select
SFX options 
9 .Choose the path to extract:
- [li]You can choose Program Files [/li]
[li]You can choose current folder (this mean that it will be extracted where the installation file is found, ex:if the installation is on the desktop it will be extracted on the desktop)[/li]
[li]You can put the directory you want
(ex: c:\izenhower) [/li]
10. In
run after extraction write the name of the file you want to run after extraction.
11. In
run before extraction write the name of the file you want to run before extraction.
In Advanced Tab
12. You can write the name of files you want to delete
13. Select
add shortcut 
14. Choose where to create
15. Write in the
Source file name the source of the file that you want to create a shortcut for
(you should know it, ex: if a file "i-lock.bmp" is created in "c:\izenhower" you write "c:\izenhower\i-lock.bmp")
16. Write the folder you want to put the shortcut in.
17. Write the shortcut name
(Recommended) and a description if you want.
(Optional) 
In Mode Tab
18. Select
Unpack to temporary folder if you want that the archived files be unpacked to temporary folder, now you should use
run after extraction (Step 10) to select what file should run automatically (
Note: Wahat
Unpacks Temporary Folder will be deleted after the file in
run after extraction is executed.
19. In
Silent mode you can perform the extraction silently so you can choose
hide all: When you double-click on the installation file the extraction is performed whithout confiramtion and you can't see the progress bar,
or
hide start dialog: the extraction is performed whithout confiramtion but you can see the progress bar
20. Assume the archive is extracted, and you extracted it a second time, you can choose what to do; you can overwrite all directly whithout asking OR you can Skip existing files.
21. The Text and icon are filled by user request and so does the license.
22. The module you should choose is the
Default.SFX , the
WinCon.SFX uses DOS.
23. Once finished all the Steps, close all Winrar windows by pressing
OK. A new type of RAR Archive should take place.
24. Now you have an Installation file, if you double click on it, it should start a self extract and then the software will Run.
