Maybe my old description from Squeak times can help here a little bit: 

  Win32 Custom Product Building  http://squeakvm.org/win32/custom.html

You may also be able to use http://en.wikipedia.org/wiki/Resource_Hacker 
on an existing VM executable I guess.

There is no service yet to build a custom VM.

Also have a look at ImageLocker-Core-tbn.1.mcz from  
http://squeaksource.com/PharoGoodies/  

Also look at 
http://stackoverflow.com/questions/3714631/adding-stuff-to-run-on-startup-of-pharo-image

Bye
T. 

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