How to integrate the whole project into one exe file?

Only an installer that you can install the game on your PC, I suppose. I ask it cuz I plan to release my game on Steam, and I think I need to have a single installer file to give to them, right?

Also, for the Standalone build case as you mentioned, I tried to package my project and get an exe file and a bunch of files. Are these files exactly the ones a player will get after installation of the game? As for the exe file, it has an icon of Unreal Engine. Is there a way to change the icon? I am not saying I dislike this icon, but isn’t it strange that one can directly see the game engine icon instead of the game icon:)

Much Thanks!!

Wcl1993