Hi Erich,
after a few verifications with the developer, I'm afraid that the answer to your question is no. The Zip Compression Library (Active X) would not allow you to create a self-extractable zip over multiple files more than the Zip for .NET version, sorry.
Best regards
Ghislain
Technical Support and software developer
Xceed Software Inc.
Knowledge Base : http://xceed.com/kb/
Update Center : http://xceed.com/updates/
Documentation Center : http://xceed.com/doc/
For everything else, there is Google