Alright. Well, the first (The normal EXE type) basically, has nothing special about it. All your media, and everything else is "outside" of the EXE.
The second (The EXE with the .PCK) will put all of your media into a .PCK file, not all that secure, but it's still all there.
The third type (EXE with attatched media) will put all of your media inside of your EXE. Basically like adding the .PCK to the end of the .EXE.
And the installer type EXE, I am unsure of. My guess is that all the media is included in the EXE, then extracted, and the media is from then on, loaded from outside the EXE.
-db