best tool to create self-extracting executable for 2000, XP, Vista and beyond

[Frank Lopez]

What is the best tool to create a self-extracting executable that then executes an extracted setup.exe file?  

I want to distribute my installer to potentially millions of users, and so it needs to work right on all platforms.

I was thinking about using iexpress, but then I heard it has some problems on vista if I bundle packages that the bootstrapper first installs... something to do with it not preserving the directories.