One thing people seem to forget about when gnashing their teeth over the "multiple files" created as a deployment package by the P&D Wizard is self-extracting EXE files.

One good tool can be found at ZIP 2 Secure EXE and even the free edition is loaded with goodies.

By naming the resulting file Setup.exe Vista should try to treat it as a "legacy installer" though I'm not sure the PDW Setup.exe will also be run with Installer elevation. Worth a try though!

With the right tools you should also be able to embed an Administrator elevation manifest in the "Zip EXE." This can make it useful for delivering updated data as well - if not code updates.