Releasy (by me), using the :windows_folder or :windows_installer or :windows_wrapped option, will create a non-extracting version! That is, you get a tiny .exe that is just there to start everything up and all your files + ruby are zipped up with it - which means it starts faster and doesn't use space in your temp folder. Obviously, you don't get the advantage of distributing as a single file, but frankly that isn't as important as people think and Releasy makes compressing your game even easier :)
:windows_wrapped can even be built on OSX/Linux and Releasy will make building an OSX executable as easy as making a Windows one.
Sadly, Releasy is still a bit hard to use, so please visit the #gosu forum and I'll try and help you pack up your game with it, though you might get somewhere looking at games of mine or those others who have packed games with it.
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