RPG MAKER XP

I know there's an option to include RTP while compressing data into a self-extracting executable within the context of Ace, possibly VX as well. I can't say for sure if that option exists in XP, since it's been forever since I've used it, and I no longer have access to it.

As a blind alternative, you can copy-paste the contents of the XP RTP into your game folder, or get a fresh download from RPG Maker Web. There might need to be an edit to the INI file as well to make it truly self-contained, but, again, I don't know precise details.