Hmmmm,

Pretty much as sec_ware has said. You need a programming editor, a compiler and knowledge of the programming language. I would also recommend a debugger.

Is it possible to make a program install itself without any wizard,instantly upon download?
I am not sure what you mean by that. Do you mean "install", or do you mean "run". There are lots of programs that run, but do not install (permanently) themselves. The general purposes of a "wizard" are:

1. Obtain user interaction as to preferences, settings, acceptance of the EULA etc.
2. Confirm that the installation was successful or not.
3. Clean up temporary files etc.
4. Allow for uninstallation.
5. Show the user progress, so they don't get impatient and kill it.

Can i make an exe file identical to a file of another extension?
............... No, it will still be an .exe and will look nothing like a .jpg, for example. Changing the name does not change the file's fundamental characteristics.

To prove this take a file such as picture.jpg and remame it to picture.exe then double click on it.