Ever get sick of downloading stuff, installing it, then a week later never using it? I know I do, and I'm to lazy to uninstall it. So I have the thing for you! (Note: this also is great for flash drives) This is my first instructable so please post constructive criticism. :)
Step 1: Tools
Step 2: Extract the Install File
Extract your install file, in my case I will be doing this with phun.
Step 3: Archive It
The final step is to archive it into a .sfx archive. Navigate to the folder where everything is, find the .exe that runs the program, and remember the name of it. Open WinRar and navigate to the folder you extracted it to, select all files, and click add to archive at the top. Now change the name of the archive from say, phun.rar, to Phun.exe. It should change it to Phun.sfx.exe. Make sure create SFX archive is checked. Now change the archive format to ZIP and set the compression method to best. Switch to the advanced tab and click on SFX options. Set run after extraction to the name of the .exe that you found earlier. Change to the modes tab, check unpack to a temorary folder and select hide all. Hit OK and then start the compiling of the archive.
Step 4: How It Works
Wondering how it works? Let me explain it! It all starts when you click it. The archive extracts itself into a temporary hidden folder and then runs the program you selected in step 3. When you close it, the program wipes itself off the ram and is gone. I suggest storing this online, then when you need to use it, don't save the file, just open it when you download it. This also works great with flash drives.