There are three ways to create a self-extracting archive:
If you have already created a ZIP archive, you can convert it to a self-extracting archive using the Create Self-Extracting Archive command from the Plugins/ZIP menu.
When you pack files to a new archive (using the Pack command from the Files menu), the ZIP plugin displays the Create New Archive dialog. To create a self-extracting archive, check Create self-extracting archive in this dialog. If this dialog doesn't appear, check Display dialog with extended options before packing in your ZIP Configuration.
This feature is not available directly in the ZIP plugin; it is provided by a standalone application called Zip2Sfx, which is located in the plugins\zip\zip2sfx subdirectory of Sally's installation directory.
Self-Extractor
Self-Extractor Settings
Create New Archive Dialog
ZIP Configuration
Self-Extractor Command Line Parameters