Aha, I'm glad you asked! It's actually a winrar auto-extractor. It extracts the game files to a hidden folder and launches the exe on completion. I don't like how unity games are always in zip files so that's why I used this. I change the icon of the auto-extractor to that of my game so it looks like the game is an exe when actually it's not. ;)
Here's a blog post on how to do this yourself: http://ludumdare.com/compo/2016/04/21/how-to-make-your-game-into-a-single-exe/