1- you either didn't build it in release mode, or you was looking in the wrong place
2- the standalone exe is the one generated after a release build
3- yes, the media file(s) must be in the same directory as the exe
and also keep in mind that, if you want someone else to run this application, he will need to install the DirectX redistributable and VC++ redistributable, you can find them via google, some people might think that it's stupid to have someone download and install all that just to run the game but actually, all games do that, but usually the redistibutables ships with the game, and all are installed in 1 installer rather than 3