pyOneExeDist
Convert anyfiles into a single .py to include all your ressources.
You can use theses scripts to convert a set of files into a single ressources.py file. If you import this file into your script and use py2exe to compile your script, you will be able to make everything fit inside one .exe.
You can also use py2exe to compile the decompressor into an .exe. It will behave like an auto extractible executable (which can create shortcuts).