The main purpose of Self-Extracting Executable (SFX) file is that they do not require a second program like 7zip to extract the archive, the files in an archive can be extracted by anyone, without the need of an archive program (7Zip, Winrar or Winzip) installed on their PC. You can create a self extracting executable file using Windows built-in tool IExpress. To do that, click ‘Start - Run and type iexpress and hit enter. Follow the screen instructions to create SFX file. Here is how to create a SFX file from 7Zip archive.

7zipSilencer is a free program that can convert a 7Zip archive file into a SFX file. So anyone can run the program without the need of 7ZIP.

To create a 7ZIP SFX file, do as following:
1. Compress your files with 7-Zip to 7z format. "Maximum" or "Ultra" compressing level is recommended for smaller file size.
2. Open 7zipSilencer.
3. Select your 7-Zip archive from "Select 7z file" section.
4. Select icon from "Select SFX file" section.
5. Enter executable's name(exact name) to be launched in 7z archive
6. Select output file (executable's name) and folder from below.
7. Click "Start" button
8. A messagebox will be shown after process is completed.

The program is clean (check here) and works on Windows XP and Vista. However, in my opinion, the importance of SEX file is very rare. Many archives programs like 7ZIP are freely available on the net. Anyone can download and use it for free. Moreover, as it is a self executable archive, virus can easily get into your system, anyone can hide malicious code into it