File with an .SFX extension contains a compressed archive of one or many files, that unpacks itself if double-clicked in Windows system; it does not require any external decompression program. Files can be decompressed utilising a range of different sorts of algorithms, such as ZIP, RAR or 7Z.

SFX files, because they are executive files, usually use the EXE extension. They can be created in different sorts of programs that are usually designed for standard archiving, for instance 7-Zip, ALZip, WinRAR, WinZip or Smart SFX Pro.