I don't recommend using generic self-extracting executables like WinZip and others because they do not cache the MSI file. Future operations with the MSI including minor upgrades, patches, and repair may require the MSI to be provided with the name the self-extractor used (hopefully WinZip doesn't change that) and will default to the path (usually %TEMP%). Users are often very confused when this happens and can't upgrade or fix their installation.
Instead, I recommend using a Bootstrapper/Chainer designed to install packages. WiX v3.6+ comes with a new feature called Bundle
that uses the new Burn engine to handle all the self-extracting scenarios, plus much much more. It takes a bit more work to get created up front but can behave exactly like you are asking in this question.
Probably not the answer you were looking for, but I highly recommend considering using a real bootstrapper/chainer instead of a self-extractor.