How do i compress files into one .exe file

Yes, you can do it with WinRAR. Even in trial mode.

You can create a self extracting archive, which can upon starting silently extract your game in temporary folder and start it from there. If the game is relatively small and computer is modern, final user should not be able to notice the delay.

Download and install Graphic version of WinRAR.

Then browse to a folder with your game. Hightlight all files you need, right click - WinRAR - Add to archive... (first option). Then you will see window Archive name and parameters. Click option - Create SFX archive.
Then go to Advanced tab, click SFX options button. In SFX options window in General tab, type %temp% in Path to extract field. Then click Update tab - Overwrite All files. Then in Mode tab click - Hide all. And in Text and icon tab you can set and icon for future exe file (last line called Load SFX ICON from the file). Then in Setup tab, in field Run after extraction type your original main exe file of that game. It will be started after full extraction.

After that click OK and let WinRAR create you sfx file.

Of course, if your game stores settings and saves inside that folder, after you change them, they won't stick, because SFX arhive would be already made and you would have to edit SFX archive itself. But if you game keeps progress/settings in other folders or registry that approach would be fine.

If you want I can create such sfx file for you. Just post/PM link to the game.

You can also create an sfx file with the free 7-Zip

Well, that is not really installing file. That is the way many portable applications work (extract temp files). Plus, we can create you a cmd script that will delete those temporary files, once you done playing that game.

And let me have a look at the game please.