There are two methods to create SFX archive:
1) Set SFXStub property before creating of archive file by OpenArchive(FileMode.Create). Then the archive file is created with SFX stub connected and could be used as a self-extracting (SFX) archive if archive file name is 'somefile.exe'.
2) Use MakeSFX method and FileName, SFXStub properties of FlexCompress for creating self-extracting (SFX) archives.
There is an example of making SFX archives:
Look at Using a transaction system topic to learn how to use archive updating operations with FlexCompress.NET transaction system.