The user experience, in commercial Smalltalks, like Cincom Smalltalk, is just like any other compiled application.

The application packager removes everything that is related to Smalltalk as developer environment, and possibly other classes that are also not used by the application, so you get a slimmed down image.

Then you have the VM boot code, as native executable, that is responsible for starting the image execution.

Thanks to the way executable files work in most platforms, the packing tool merges that boot loader and the slimmed down image into a single executable.

When the executable starts, the loader locates the image inside the executable, loads it, and transfers execution to the runtime.

Java and .NET also have similar techniques available, see jlink, or Single-file deployment respectively.