This answer provides step-by-step instructions for creating a self-decrypting archive.

Create a PGP Self-Decrypting Archive

1. Right-click the item (a file or folder) that will become the SDA, point to PGP Desktop, then click Add "<item>" to new PGP Zip...
   
2. If desired, drag and drop more items into the large box, then click Next:
   
3. Select the option labeled PGP Self-Decrypting Archive, then click Next:
   
4. Create and confirm a passphrase, then click Next:
   
5. Type (or browse to) a save location and file name, then click Next:
   
6. When your PGP Zip is secure, click Finish:
   
7. The result is a PGP Self-Decrypting Archive file that looks something like this: