Best is to zip them before emailing them.
If you want to have a more professional installer, you can use iexpress tool that is one of those undocumented components of Windows XP. Look in your XP windowssystem32 directory and double click on iexpress.exe. It will guide you through the process.
Yes, the web page is self-contained and can be run from the harddisk or the CD.
Yes, use an HTML to EXE converter.
There are SpreadsheetConverter customers using http://www.htmlexe.com/ for the .exe conversion which also works very well.