In the standard DBPro IDE on the right hand side at the bottom, you have a selection of buttons. One of them is labeled 'Media'. If you click this it allows you to add files which will be included inside your EXE file when its compiled.

Click on the 'Add' button at the top of that window and then the 'folder' icon in the popup window to browse to the file you want to include. Repeat the process to add lots more files.
You can use wildcards too, for example to include all *.bmp files.