I hear ya. I used to build Delphi apps, where everything builds into a single .exe, you hand that out and you're done. It was sweet.
I can't tell you how many times I've distributed a 'quick' app into a .zip file, emailed it around, and had people call saying 'it doesn't find filexyz.dll'. The user will open the zip out of the email, find the .exe in the zip, run that, without saving the contents of the .zip into a folder. If you go the .zip file route, be sure to tell them, 'unzip the contents into a folder, you moron.'