How the heck does one..

[minipol]

Winace (dunno about Winrar) has a feature in that it allows you to make the archive self extracting. Then the recipient doesn't need to have Winace installed in order to deal with the archive. He just has to know how to double click.

[trooper]

I usually don't like to open a .exe file that I've downloaded on an amateur and anonymous site... Basic Internet Use precaution.
I'd prefer a zip file, at least I know what is inside when I open it.

[Erax]

WinZip also makes self-extractors. First you make a normal .zip file, then you right-click on that file to create a self-extracting Version.