File -> Compress Game Data -> Create Encrypted Archive - YES, Include RTP - YES.
By following these steps, you will be able to select a location to save the .exe file to (the blue cube icon). The compression and encryption stage will then begin..
Afterwords, when you click the blue cube... It will 'unpack' the contents of your game into the specified folder. This is what people will download. Then, and only then, will people be able to properly download and play your game. The aforementioned contents include your games 'System' folder, the 'Audio' folder, the Game.ini file and the Game application (the dragon head one that you click to play the game)
Note :
You don't have to include the RTP; however, if you do not, someone who does not already have the RTP will not be able to play the game without first downloading it.
Sufficient clarification on this issue yes?