Hi. Is it possible to pack a smaller game in one .exe file (Except the Setup maybe)?
Well, considering the default game creates one .exe file when you compile it, I would say yes.
AGS always creates one executable for your game, a copy of winsetup.exe that specifically links to your game EXE, and the configuration file that your game uses to store things like graphics driver, filter, etc. So I'm not sure what the question is here.
If you're wanting perhaps to launch a smaller game within a larger game (i.e., a "minigame"), you could look up the RunAGSGame function which allows you to launch a separate AGS game executable from within a currently running AGS game. You could then use the same function to return back to the main game as appropriate.