The question is how to configure in C++ Builder 2010 compiler and debug option to output just one exe file, and all the other inside of that, so that I can easily use program on other machine without installing them, with just running exe file.
With all versions of C++Builder you don't need to make an installer for this, (although Inno Setup is simply brilliant if you do require one).
Just select the following project options:-
That's it. You will get a single exe with no dependencies (apart from any 3rd party DLL's you use. All your VCL components (including third party ones) will get statically linked.
I use this mode for all production builds (although I do then use Inno Setup installer to manage the install/removal process for customers).