I wouldn't include resource files inside the EXE like that. What you most likely want is a resource file like Doom's WAD files. You can find more info about WADs here: http://doom.wikia.com/wiki/WAD
Note that the WAD format is just an example file format, but it's a good example since it's easy to understand and implement. There's more advanced formats out there that include file compression and whatnot.