anyone can take the media, in alot of ways, i managed to view the media (textures/meshes/etc..) of alot of popular games, along with how they are rendered, order, real-time modification and alot, ALOT of detail, there is no way to protect your media.
but if you want it so that it's "hard" to do so, like, prevent people from just taking them when they see the media folder, you can write your own file format, with GDK this could be a little bit advanced, you will, for example, save the pixels of an image in such a way that you know how to read it from your application, none will be able to open it then, unless they decode it (dunno if people does that, or tries to, but well..
), or they take it while your game is running
one more option is to use .rar with a password, i don't know much about this but perhaps, there is a winRAR API that allows your application to use the file using a known password
honestly i have written alot of file formats for all my media because i was thinking just like you: i want to protect my stuff!, but recently i found out that it was all a waste of time, not totally (yeah well, it's cool to have your own format ^^), but really, the main goal wasn't reached, there is no "real" protection