Adding File

I need to add .wav file to my program. If I use setup wizard, then it'll make a folder with .exe and .wav files. I need to place .wav into my .exe (like an icon), so it'll be in my program and not separate file. You can do it with Delphi, what about VB?

in VB you can add a file to the EXE of your program by integrating it in a RES File and adding that res file to your project.
IMHO, you still have to extract that binary resource from your exe (LoadResData) and write it to a (temporary) file to play it.
To add a file to a res file you need the resource compiler.