Hm...
So what you're saying is that they are there and just not visible?
Well either way it doesn't work in the long run. Maybe Install Creator (presuming that's what you used) doesn't pack in Hidden files. That makes sense to me.
As far as media goes, I highly suggest just taking a $15 hit and buying FPSPack. I'm using Lite (which isn't freely available anymore), although that's mainly for compression.
After discovering that, it doesn't surprise me your packed .exe was 14MB. There was no media in there!
EDIT: I hate to go off-topic, but my Project Luna testers haven't been all too fast in giving feedback for my newly released closed beta of Level 1 of my game.
You wouldn't want to test, would you? Because at this point any feedback would be seriously appreciated. If you want to, just say so and I'll send you an email.
Evil has a new name. Demo out now!