Honestly, I fail to see the point of avoiding having any other file than the EXE in your distributed games. It's not as if you are running DOS and you have to copy each file over one by one.

SDL distributable libraries are just that distributable. They are intended to be packaged and included in your game. These days size is not an issue either as 1 GB USB drives are pretty much a minimum that you can get in some places. (Some it's 2 GB) sdl.dll and it's friends barely reach that.

Further compressing and packing all your textures, sound and config files into some bootstrap format is a waste of time until you have nearly completed development. Especially if you don't know how to do it. You end up putting off what you need to learn most, which is all the core fundamentals for game development, first and foremost.

My recommendations are if you want to use Lazarus or FPC alone try using SDL since it's probably the easiest to work with. (Asphyre is also good to try, but I believe it may require Lazarus.) Don't get hung up on small things like included DLL files and the like. Learn the basics FIRST then once you have actually made something THEN work on areas to improve your skills in different areas.

If you need help or get stuck with something feel free to post in the forums and ask about it. Sometimes it's the quickest way to get what you need, right to the point.