Some people found that once their game became large, the single EXE file was slow to load due to anti-virus checkers scanning the whole file. AGS includes an option to split up the resource files into smaller chunks to avoid this happening. On the General Settings pane you'll notice a setting "Split resource files into X Mb sized chunks".

If you tick this, then type in a number such as 1 or 2, then save the game, the game data will be split up into chunks that size, named GAME.001, GAME.002 and so on.

Some resources are still combined into the EXE file but all the rooms will be placed into the other files. If you use this option, you need to distribute your game's EXE file plus all the GAME.00? files.