The only way I've found of doing that is by creating a .zip or .rar folder containing only important things like the game file (the one with the orange circle), the notebook with the same name, and the folders, along with any additional content you put in it. You should leave out of it the file you use to open the game (which is probably the one with a blue icon), or people will be able to edit it.
Hey, you are building your game in RMXP right? Would you mind telling me how i would go about converting a RMXP game to a playable format (not test format)? I am working on my own game, and I cannot, for the life of me, figure out how to do that.