How do I create a self-extracting archive that will place some of its contents into one directory and other contents into a different directory

Question

I have a folder filled with games titled "Games", and a folder filled with GDS Reports titled "GDS_Reports".

I want to create a self-extracting archive that contains these folders, that when opened, will place the "Games" folder in: "C:\Users\JimBob\Desktop\GamesAndStuff\" and place the "GDS_Reports" folder in: "C:\Users\JimBob\Documents\Reports\"

Is there an existing product that provides this functionality? (E.g.- 7Zip, WinRAR) It seems like there should be, but my searches have turned up no results so far.