You could mean one of two things...
1. You want to include the media inside a single exe file instead of supplying it separately.
2. You are afraid your media can be 'ripped' out of the exe you created.
If it's 1 then you need to do the equivalent of DBC's 'Build Final' where you tell the DBP compiler to create a single exe with all the media inside it.
If it's 2 then take a look on the net for a program called UPX which may work with DBP executables as they are supposed to be compiled properly - unlike DBC which creates P-Code which UPX doesn't like.
UPX basically takes your exe and compresses/encodes it - making it a good deal smaller and immune to media rippers.
I must repeat though that I've not tried it with a DBP exe so I can't confirm whether it works or not.
TDK_Man