Is it possible (resp. who to?) to include a separate EXE into your own Exe?
Yes, just add your executable as a resource
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In Delphi there was maybe a more "mouse-friendly" approach, JediVCL (partially ported to Laz, but not this component) hasTJvFormData
In design-time you click the component and load files into it via usual OS-standard file open dialogs. Then they were stored in DFM/LFM, with an optional name.
At runtime it is just a component in the form that gives you TStream by its name or index. In the end it is similar to including resources, but more novice-friendly. Though, i'd not use it for really big files, since this approach most probably disable lazy read via memory mapping.
I used it to provide empty databases, like "new document template". The server DLL were provided traditional way though, not because of antivirus concern (the signed binaries probably would had calmed antiviri down), just because there was a need to save several files and subfolders.
There is more concerns than antivirus though. On Windows %TEMP% is executable, and many installers rely on it, so it probably would remain. On Linux i would not be sure i am guaranteed to have a filesytstem both writeable and executable in some fixed predefined path...