EXE Settings when using auto-upgrade through URL

I have what might be an easy question, but it doesn't seem clear to me, so I thought I would clarify.  

When using auto-upgrade to deploy packages through a URL (so not on the main SEPM server but an alternate web server) do you use the Single EXE deployment, or do you need to copy all of the individual installation files into the directory on the web server? 

When you create a package in SEPM, it says at the top that you shouldn't use Single EXE if you are deploying through Auto-Upgrade, which is where my confusion lies, because it seems that most articles online say to use single EXE for the URL method. 

I may be impatient, but I can't get either method to work.

If it matters, clients are upgrading from 11.0.5 to 12.1

Thank you for your help