Maybe this helps. Make a folder just for your project and save all your project files into that folder. Make sure that you also compile your .exe in that folder too. Inside that folder make another folder where you put all your media files only.
Lets say for example that you have created: "c:\project\media\"
and that you have an image file "image1.png" in the media folder.
Compile your .exe, including the image as media, from the media folder.
When you load that image from your program make sure that you use
load image"media\image1.png"
and not
"c:\project\media\image1.png"
That could be the reason for your problem.
Also if you have many media files to include don't select them all at once. Select less that 10 files every time, because sometimes files are skipped if you select many of them.