Is there a way to include pictures with an .exe file?

I have made a program that uses about 6 .jpg images in it. When I make the .exe file, does it include the images, or do I have to package them with the .exe for the program to work? I have used WinZip to make a self extracting file, but it then will extract to about 8 files, and I don't want that, just one .exe.

Thanks for your help...