If you want to make an self extracting zip archive for Linux and Windows systems, you have to prepend self extracting stubs on zip file.
For Linux, download Unzip (which includes unzipsfx) from InfoZIP website and extract it. To create self extracting Linux archive file, type:
cat unzipsfx example.zip > example
chmod 755 example
Now example is a regular binary and when executes ./example it will be extracted.
To create win32 self extracting (.exe) archives, you have to find unzipsfx.exe and type following commands:
cat unzipsfx.exe example.zip > example.exe
and example.exe will be a self-extracting win32 zip archive.