What I do in my projects is put ALL the files of the program in a folder at %appdata%, including the exe. Then, I make a shortcut to the .exe wherever I want. In yours case, it would be the desktop, if I didn't misread.
If you are going to distribute the program, I would suggest a NSIS installer to make the shortcut/folder, or you could make yours own code, which is a bit more headaches. Both would work well.
Putting files inside a .exe is very complicated, heavy, and the other things that have been cited above. I think it's a bad idea, and I have searched for that before on google with no sucess. Generally, nobody includes files in a .exe.
If you want to proceed though, you will need some 1337 skillz. Good luck on yours problem.