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data.win used to be bundled with the YYC export even in 2.x, but this was recently changed so that data.win is never bundled. You'd have to use your own executable packer if you want this, but given that they can all be unpacked or unpack themselves on run, I'm not sure if it's worth the effort.
It generates an exe file, but generates a data.win as well.
To share it you would compile it to either an installer or a zip archive (or another of your choosing if you wanted to archive it manually).
You can choose which method to use when you compile it as it will ask you whether you want an installer or a zip.