What program can be used to package software into one executable? [closed]

I need to package an application into a single executable file (so that I don't have to install it, so that it will be portable). Does anybody know what I can use to make a program portable?

You could try using VMware Thin App:

With VMware ThinApp, applications are packaged into single executables that run completely isolated from each other and the operating system for conflict-free execution on end-point devices.

I'm not sure if this approach is useful for a software like Hotspot Shield though.

VMWare ThinApp is the best option that I know, but you can make portable apps using WinRAR (or 7-zip, but I don't know how).

Tutorial on how to make a portable application with VMWare ThinApp.