Quote: "~1. Is there any way to change the icon of the compiled applictaion? (and for the record, I've already tried Properties, there is no "Change Icon"."
MSVC++ Express doesn't have a resource Editor so you'll have to compile it first and then download a resource hacker to change it afterwards.
Quote: "~2. Is there any way to have the media files (ie.: something.dll, something.bmp, etc.) in a folder seperate from the actual application?"
You can, just make sure you go to the right folder.
Eg. if you put it in a 'Media' folder where your app is then do something like 'Media\something.bmp' instead of just 'something.bmp'.