I seem to remember it asking if i wanted to merge my self extracting executable mod with an MPQ that contained custom dats that I made in DatEdit but it's not doing that for some reason.
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You can always open the .exe with WinMPQ and add your .dat files (and other stuff like iscript.bin or strings_txt.tbl) manually.
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Use Save As, then click Yes when it asks if you want to copy an archive into the exe.
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