Sorry but i don't think apple like to sell a windows app through the iTunes Store... it was only a question if its possible to do it and to give the possibility for the user to choose if he want a zip or just one file...
I don't think there are complicated warnings. There is an other slideshow application on the mac which makes one executable file with all in it. So isn't it possible for picturestoexe rr maybe if we can make a choose in the program settings?