How to build exe which puts files in appdata folder and creates a shortcut to the program?

How to build exe which puts files in appdata folder and creates a shortcut
to the program?

I have a javascript application.
index.php runs the application.
I want to create an exe which puts all the files into the appdata folder,
and which creates a shortcut to the index.php so that the application can
be run.
This way users don't know where the application files are so they can't
copy the application (not easily anyway).
How do I do this?