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This leads me to the directory of an executable project, and Yue.pck Yue.exe, what happens is that as I understand the file compressed pck have the resources of the program, in this case the image that I put in the bucket, but when remove the media directory, the image textures...

Okay, there are multiple options. If you go for "Small EXE and PCK file", it places all the media (and dependencies iirc) in the PCK file. The PCK fileis like a virtual file system so it doesn't matter what your paths are, so long as the point to the right place of your Hard drive. When the project is compiled, you'll find the .EXE and .PCK file in your project folder. These files are your "Release".

Two things you need to know:
1) I've had a couple of compile errors with this pck file in the past but that was looong ago so that chances are it'll compile correctly now.
2) You should create a project and save the project too before compiling for all to go smoothly smoothly (Save All / Save Project).
3) Once the project is compiled, only your program can access the contents of the PCK file (and a resource hacker ). You will make changes etc to your media's original location of your hard drive.

Hope this clears up what you're wanting to know.

Disable the Antivirus protection before compiling.
This works for me.

Cheers Ron.