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?

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Since we closed the other question, we should probably leave this one open. – Daniel Beck Apr 25 '11 at 18:53
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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.

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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.

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Originally there was PEBundle (discontinued). Thinstall became VMWare ThinApp. Now there is MoleBox as far as shareware/cheap solutions.

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