How do you make...?

I guess how do you create a portable app that near the exe there is App Data and Other ect. Folders and the app works. i use Portable App Creation Master and i create app with it but i dont like it. The process is too long with it. Can you help me?
How do you create Portable Apps that looks cool like yours? I really want to know because i want to create apps by my own but i pisses me off.