The first question anybody would get is what actually and SFX archive is?

And also what is the difference between SFX archive and self-extracting archive. So let’s get some clarity first.

Difference Between SFX and Self-extracting Archive?

Basically and SFX Archive and an self-extracting archive is the same. The thing is in some software this feature is called self-extracting archives and in some it is called SFX archive. After a reasonable research I have come to this decision, but I am not sure. But for now just think that SFX and self-extracting are the same.

How Do They Work?

Its simple, instead of giving you a ZIP or RAR file, the software you are using will keep those files in a special format, and attaches it with a piece of program which is capable of extracting those files. As a result you will get and EXE file instead of a ZIP or RAR file. And when you open it, the program will start extracting those files attached to the program. There are also some advanced options like AES-256 encryption and much more.

Well, How Can I Create One?

So, here is how to create a self-extracting archive. From now on words we will call self-extracting archive as SFX archive. With that being said let’s get started.

WinRAR

First select the files you want to create SFX archive and right click on them. You will see and option to Add them to archive. Just click on that. A dialog will popup like this.
WinRAR-Archive-And-Parameters

Now select the options as I have did in the above picture. If you are having any issues in visibility of the picture just click it to show in full size. The next is go to the advanced tab and click on SFX Options. Now select the options as I have did in the picture.
WinRAR-SFX-Advanced-General-Options

Now Enter the Folder name you want your extracted files to put in, if you don’t want just leave it empty. If you are packaging a application then select create in program files, if not simply select create in current folder.
WinRAR-SFX-Setup-Options

Now, if you want to have some cmd commands executed after the extraction is completed, just fill in the commands in the appropriate textboxes.
WinRAR-SFX-Modes-Options

Just follow the wizard from now.
WinRAR-SFX-Advanced-Options
WinRAR-SFX-Advanced-Update-Options
WinRAR-SFX-Advanced-Text-Icon-Options
WinRAR-SFX-Setup-Options
WinRAR-SFX-Advanced-Module-Options

So, I hope you have understood what is going on here. If not please check out the video below.

7-Zip

Same as WinRAR, select the files you want to add and right click on one of them and select 7-zip then Add to archive. Once you do that you will see a popup window like this, here follow the steps as I have did.
7-zip-SFX-Archive

Now after you set the same setting as shown in the above image, just click on the OK button to create your self extracting archive.

Conclusion

You can see that both WinRAR and 7-zip can create SFX archive but WinRAR has some more options than 7-zip. So, if you could not understand anything. Please refer to this video below.