Depends on the IDE you are using.
In the newer Synergy editor, you first go to the Media button (2nd along) in the bottom left corner of the IDE and add the media files to the project.
Next, you go to the Properties button (4th button) and change the Application setting from 'exe' to 'media'.
When you compile, all the media files you told it to include will be embedded in the resulting exe file.
If you create a folder called 'Media' in your project folder and copy all your images, models and sounds etc. into it, you can set the IDE to include 'Media\*.*'. That way, if you add more files later, you don't have to add or change anything in the project settings - just compile your program and it will include all the new files.
TDK
