Emulator-rom connection with exe

I just bought Earthworm Jim Special Edition for the Sega CD and downloaded the disc from a torrent site. The included Kega Fusion, bios's, plugins, the disc itself and an .exe that runs the game automaticaly at fullscreen if you use it. How's that possible to do? I always wanted to use this kind of version of playin' roms. It feels like I'm playin' a PC game. And it's faster too. Anybody here who knows how to make such .exe files? Would be kinda happy if I could make some of my favourite games run like this. Thanks in advance for the answer.

That is possible but again; It requires a bit of programming skill. If you learn C/C++ you will then know how to create such shortcuts

Or you could do pretty much the same thing using the emulator, the game ISO's and a fairly simple batch file.

Thanks for the help and sorry for taking so long to answer (i was a bit off and forgot to check out what happened).