The NSIS installer system supports the 7-Zip algorithm (LZMA) and has an overhead of 30-50kB. So that would be another option.
Inno Setup also supports the LZMA algorithm like 7zip: http://www.jrsoftware.org/isinfo.php When using Inno Setup you should also download the graphical interface ISTool: http://www.istool.org/default.aspx Regards, Martin