The command-line flags --exe directs mzc to embed Scheme source or byte code into a copy of the MzScheme executable. The --gui-exe flag is similar, but copies the MrEd executable.
The embedding operation merely merges the given Scheme code into the executable. If the embedded code refers to MzLib libraries or other collection files, the libraries must still be present when the stand-alone executable is run (and the executable must be able to find the library collections in the usual way).