I want to make an executable with VNC windows client inside, and when the app is executed, it prompts something, a message or something, and then opens the VNC client and closes itself, leaving only the VNC open...
How can I do that?
If you wish to download a single file but have various files (applications, or whatever) in it, you better use an installation package.
If you're going to deliver a Python application (as per your tag) along with executable files, you might want to take a look at these: