We save an image with our main application window already opened, and unwanted 
things disabled (halos, alt-., menus, etc). Additionally, we have a class-side 
#startUp: method to initialize what's necessary on startup, like re-reading 
config files etc.

The image is started automatically when double-clicking "plopp.exe", or rather 
a short-cut in the program menu placed there by the installer. This exe is 
nothing more than a renamed Squeak.exe, with a different icon patched in using 
a resource editor. There is a VM config file "plopp.ini", which most 
importantly contains the path to the image to load (see 
http://minnow.cc.gatech.edu/squeak/3274).

The exe along with the needed plugins, the image and other data files is 
installed in the "programs" directory by a regular Windows installer 
(InstallShield).

It's really not too different from other applications, which nowadays also 
consist of an executable and several additional files. That the actual 
application logic in Squeak's case is not contained in the executable but in a 
"data file" is of no concern to the end user.

Note that this is an FAQ item (http://minnow.cc.gatech.edu/squeak/3563). Feel 
free to put my explanation on the Swiki, I haven't checked carefully if a 
similar answer is already there.

- Bert -