By using a resource script it is indeed possible. What IDE are you using as something like Visual Studio 2005 can be simple to include resources into your exe.

(Warning this explanation is done using the full version of visual studio so it might be slightly different in the express version)

1. Start off by in the solution explorer right clicking Resource Files highlighting Add then clicking Resource

2. You should be presented with a popup which is named Add Resource

3. Click import followed by selecting what file you are going to add as a resource to your project (note after you select this item it is best not to move the file to another folder, so make sure you are happy where your resource files are located)

4. You should be presented with the file you added to the resource in Resource View, here you will want to right click the resource in the left (it will be named IDB_BITMAP1 or something similar it varies upon resource type) and click properties, change the ID to something easy to remember and keep the prefix as that is the only thing that distinguishes between resource types in the final code.

5. Go back to the solution explorer and load the new file resource.h

6. Ensure that there are no duplicate entries for example you may have an:
#define IDB_BITMAP1 101
#define IDB_CAR1 101

In this case the IDB_CAR1 would be the renamed resource from step 4, so you would delete the line IDB_BITMAP1 is on to prevent confusion.

7. To include the resource in your game code varies on how you load the files. For example a bitmap class i wrote takes files and resources differently, the resource requires an instance handle, while the file doesnt, so you may need to take that into account when implementing resource files.

If you have any problems ill do my best to help out in the morning as its late and i should sleep.