That is one way how to do that. Sometimes strict corporate anti-virus software may not like that, because technically those kind of exe files have invalid format.
"Proper" way is to put them in resources.
whatever.rc file and put all your assets there in following format:
1 RCDATA "image.png"
2 RCDATA "sounds.wav"
3 RCDATA ...
Then in your source code to load asset you do:
void LoadAsset(int id)
HRSRC res = FindResource(GetModuleHandle(0), MAKEINTRESOURCE(id), RT_RCDATA);
HGLOBAL handle = LoadResource(0, res);
void* data = LockResource(handle);
DWORD size = SizeofResource(0, res);
// ... use data & size
And compile .rc file with rc.exe and add .res file it produces to your linker.
You can even share those 1/2/3 numbers with your c code by having them as #define's in some .h file and including it in .rc and .c files.
And if you choose to use clang compiler, then there is even better way - which works on Windows and Linux the same, using .incbin inline assembly directive: https://gist.github.com/mmozeiko/ed9655cf50341553d282
This way you can have all your assets referenced from source code.
Regardless of which option you choose, don't forget that exe/dll files on Windows have 2GB size limitation.