For small games I'd recommend embedding it into the executable because it allows a smaller package.
A resource doesn't magically shrink because you embed it into an executable.
This is probably not what WoopsASword meant, but its worth mentioning that packing very small resources, such as small, low-color sprites, into a file together can actually reduce the size of your installation on disk. Prior to 2009, 512 byte disk sectors were the standard so a 16x16 pixel, 8-bit sprite would consume a whole disk sector even though it only needed 256 bytes, for 50% wastage -- you couldn't make the physical file any smaller, but you could have stored another sprite inside "for free". After 2009, disk manufacturers started migrating to even larger, 4KB sectors and this was the majority of disks starting in about 2011; this would result in about 94% wastage (you could store up to 15 additional sprites "for free"). Of course, 16x16, 8bit sprites are not so common today, but a 32x32, 16b color sprite gets us right back where we started with 50% wastage, or 32x32, 8-bit sprites waste 75%.
The flash in SSD drives is (exclusively, as far as I know) 4KB sectors physically in silicon, so 4k or larger logically; and these 4K physical sectors are the unit of write-cycle endurance as well, so its extra considerate of SSD users to fully utilize each sector.
If you have lots of individual files that are smaller than 4k you really should consider packing them together to eliminate wastage, such as by packing sprites into a sprite sheet or simply flat-file. I mention this specifically since its a relevant consideration for 2D sprite games (lost of small images that aren't compressed) -- of course if you have larger textures/images and especially ones that compress well with acceptable quality, standard compression will do you fine with minimal wastage.
I still would not pack those kinds of files into the executable itself (better to pack them together in files/units that make sense), but it would achieve having less wastage all the same.