One the problems I have when I ship my exe is ensuring that all the resources (bitmaps, cursors and config files) are valid when my app starts up. Typically, just including them in a sub directory can cause problems since the user could delete or alter them. The ideal solution would be to package the resources into the exe and extract them at runtime. See:
Adding the resources to the exe is quite straightforward (with reshacker) but I'm not sure how easy it would be to implement these function calls (or even it is possible), would anyone find this kind of functionality useful?