Pack It Up, Pack It In
So, when the time comes, how exactly should you go about releasing your creation on the world?
Well, here are your options...
Option 1: Just releasing the data file
The easiest way to release your game is to distribute your compiled game file on its own, perhaps zipped up to make the download quicker. That way, should anyone have a copy of the SLUDGE engine already, they get a new game to play on it as soon as possible... no time wasted downloading something they've already got. Just make sure you post a message near the download link saying "Requires the SLUDGE engine... download it from here if you don't have a copy already" and connect it to http://www.hungrysoftware.com/tools/sludge/engine.html.It's a good idea to put a message saying something along the same lines inside your zipped-up file, in case anyone happens to jump straight to the downloadable file and misses your message.
Option 2: Releasing the file with the engine installer
Secondly, you can release your data file, zipped up with a copy of the SLUDGE engine installer program. That way, should anyone have a copy of the SLUDGE engine already, they can just extract and run the game file - as before. If someone downloads the game and doesn't have the SLUDGE engine installed on their machine, they can install it.
Option 3: Stand-alone version
Your third option is to make a stand-alone version of your game. Create a directory and into it place (a) your compiled game file, (b) the SLUDGE engine and (c) the file FMOD.DLL from your C:/windows/system" directory or equivalent. Rename your game file to "gamedata" (with no extension) and the SLUDGE engine to the name of your game (with the extension ".exe"). Zip up the folder and presto!