With the application WinRar from: http://www.rarlab.com/

Select files, right click and select Add to Archive
Use Browse.. to create the archive in the folder above
Change Archive Format to Zip
Enable Create Archive Format
Select Advanced tab
Select SFX Options
Select Setup tab
Enter setup.exe or msiexec /i xxx.msi into the Run after Extraction field ( No quotes or other stuff … )
Select Modes tab
Enable Unpack to temporary folder
Select text and Icon tab
Enter a more appropriate title for your task
Select OK
Select OK

This was mostly swiped from the bottom of:
http://stackoverflow.com/questions/27904532/how-do-i-make-a-self-extract-and-running-installer