I just finished porting an application from Windows into Linux.
I have to create an installer of the application.
The application is not open source         
        
Create a .tar.bz2 archive with the binary, then publish a feed for it, like this:
  MyProgram 
  what it does 
  A longer description goes here. 
  
     
   
 
Sign it with your GPG key. You can use the tools on 0install.net to calculate the digest and add the GPG signature for you in the correct format.
Then, put it on your web-site at the address in the uri attribute. Any user on most Linux distributions (e.g. Ubuntu, Fedora, Debian, Gentoo, ArchLinux, etc) can then install and run your program with:
0launch http://mysite/myprog.xml
Their system will also check for updates periodically. There are various GUIs for the different desktop environments, but the command-line will work everywhere.
Also look at some of the existing feeds for inspiration.