Publishing an .exe (combining files)

Hi!

Great forum, and an awsome site in general!

I would like to publsih a flash movie as an .exe, this movie uses a .txt document and some external .swfs (possibly even a database file, maybe even some XML).
I wondered if it was possible to pack ALL of this up in the .exe, in much the same way (on a mac) an application folder is constructed.

Any help would be great!