Personally I store my assets as resources. (the Microsoft specific standard that stores icons, menus, some strings, bitmaps etc or custom data if you want)
I assume with resource editors it's still as simple to extract non-encrypted files of course but I can ship a stand-alone exe that self-contains everything.
If this solution interests you, look into the following functions on MSN: FindResource(), LoadResource(), LockResource()
The custom type is RT_RCDATA and is "defined" as 10. You would need to pass that value to the FindResource() function.
As an aside, I disagree that encrypting/obfuscating a program is useless because somebody in the world (a clever hacker) will undo that anyway. You can still buy some time and avoid every script-kiddie and his grandma to already steal your assets. If it were really useless then AAA titles wouldn't go to so much trouble doing it. Whenever you ask how to do this here, you are either suspected of wanting to bypass such a scheme yourself to steal a game (which sort of proves that such a system IS useful or why would they be so afraid that you bypass it) or maybe there is some elitism in which newbies aren't encouraged to be able to code to the same protected standards.