To truly be a stand alone, you would have to compile an .exe that includes the media. This can be setup based upon the editor you are using. I typically use CodeSurge, but it also can be done with the one that comes with DBPro (Synergy, I think). I expect other editors will have this option too.
A 'normal executable' is what I think the editor defaults to. In other words, your media is typically in the same folder as the .dba/.dbpro files or has a path to the folder that is given within your program. The media is not included within the .exe and if you move the .exe file somewhere else on your computer it will error because it cannot find the files it needs.
Since it takes a little longer to compile a stand alone for larger programs, I usually will create normal executables while in development and then create a stand alone when I am "finished" with the game, or if I want to give it to someone to try out.
I've never used DBPro free, but I expect you will be able to create stand alone .exes with it.
So many games to code.....so little time.