This tutorial is based on winzip 10.0 (but it should work on other versions).
Create or open the file you would like unzipped. Now, on the Actions menu, click make .exe file. A popup box should popup. Click ok. Now in the popup box that appears, type in the default folder that the program will unzip to. Press ok. Now another popup will tell you if you want to test the file, click yes. Now click ok again in the box that appears. Now press unzip. If it says - files unzipped succsessfully! Click ok and pat your self on the back! You have created the self-zipping file! Close all the winzip windows. If you find this useful, please P.M. me.