To create a self-executable .exe file, one must first install Enigma Virtual Box software. Then, publish an animation from Storyline 2 using the "publish to CD" option, which will output a Launch_Story.exe file. Next, use Enigma Virtual Box to select the Launch_Story.exe as the input file, add the Storyline output folder recursively, and finally click "Process" to generate the executable file. A video at the provided link demonstrates this process.