Try to give us some background about why you're trying to create an HTML ebook rather than using a standard ebook format like ePub or mobi.
If the document is nothing but text, then you can put it all in a single HTML file. If you need images, while there are ways of
embedding such things directly in HTML, I'd have no idea whether or not very many devices could handle that. It would probably work just to stick several files into the right places on the device; that would probably work, but would be a very inconvenient way of distributing an ebook. (And I'm not sure many library software programs could handle it. Calibre probably could if you zipped all the HTML files together with their images.)
This is precisely why formats such as ePub, etc., were developed. An ePub file is basically a zip file with (X)HTML files zipped together with images, other necessary files and a metadata record. By zipping many files into one, there's no need to distribute multiple files. You can in fact rename an *.epub file to *.zip and open it with unzipping software.
I imagine that most devices that allow you to view HTML files on them offer that capability mainly because it uses the same software to view other ebooks that contain HTML parts zipped inside of them, and it might as well give users the ability to read HTML files directly. But I don't think anyone ever wanted to encourage anyone to actually distribute ebooks in HTML format alone.
So again, I think it would helpful to know why you're trying to do this.
Don't put anything inside an EXE file. I can't imagine what the utility of that would be. Most of these devices use a linux or similar operating system and they cannot execute Windows binaries. (I don't really know what you mean about converting HTML to EXE anyway.)