Let's assume I've made quite a large mod with its own story, world etc, say mini-skyrim, and I want it to be started with an exe.file so that when I run this exe.file, game starts and then i hit new game and my mod starts. Is it difficult to realize?
I want to make that because I don't want the player to play with his "skyrim character", I want him to play with one I made.

An exe injector is not an easy thing to do at all.

This would be a highly non-trivial undertaking.

You don't need a new exe for that. Just need to not load a (drastically changed) Skyrim.esm. I'll find out how we did it at MERP. You'll probably be able to achieve the same by making a plugin with the changes we have, but I'm not sure. Also, this should go in the CK section.

If the TESV executable accepts switches, then it could be done through a Desktop shortcut ie. Tesv.exe /start Mymod.esm, but I'm not sure if it does. I don't think so.

Keep in mind that completed creating a new place and throwing out Skyrim means your mod wouldn't be compatable with like 80% of mods out there. Meaning it would have to be AMAZING for people to even consider using it. Nehrim is a great example. But SureAI is a fantastic team that worked tirelessly to make it, so it was well worth it. If you made a chopped together poorly constructed 'new skyrim' mod, nobody would use it and your time would be for not.

There is a stripped down .ESM floating around the internet. Do a search on here or Google and you'll find it.

(If I'm not mistaken, it's hosted somewhere on the SureAI forums)

See you in 5 years from now.