Unless you are using a library like fmod you don't need to include any with the executable. To include "attachements" with your executable use the incbin command. Here is an example:
Incbin "macstartup.ogg"
Incbin "images/boot.png"
Incbin "images/blankboot.png"
Incbin "images/apple.png"
HideMouse()
Graphics 1024,768,32
SetColor 255,255,255
Local Counter:Int
While Not KeyHit(Key_Escape)
bootsequence()
Wend
Function BootSequence()
startup = LoadSound ("incbin::macstartup.ogg")
bootpic=LoadImage("images/boot.png")
blankboot=LoadImage("images/blankboot.png")
apple=LoadImage("images/apple.png")
...............
Any other questions just ask...