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Windows binary can have resources embedded in them. Most resources are of predetermined type (e.g. a menu, an icon or a bitmap) but you can also embed arbitrary binary data (e.g. a text file). The proper syntax is hard to figure out just from reading msdn docs.
This snippet shows how to embed a binary resource from a file.
First you need to define a resource identifier in a header file (e.g. resource.h) that will be used by both C compiler and resource compiler:
#define MY_RESOURCE 300
Then you need to add to your resource file (e.g. resource.rc):
MY_RESOURCE RCDATA "file-with-data.txt"
And finally, this is how you can get to this data:
void WorkOnResource(void)
{
    HGLOBAL     res_handle = NULL;
    HRSRC       res;
    char *      res_data;
    DWORD       res_size;

    // NOTE: providing g_hInstance is important, NULL might not work
    res = FindResource(g_hInstance, MAKEINTRESOURCE(MY_RESOURCE), RT_RCDATA);
    if (!res)
        return;
    res_handle = LoadResource(NULL, res);
    if (!res_handle)
        return;
    res_data = (char*)LockResource(res_handle);
    res_size = SizeofResource(NULL, res);
    /* you can now use the resource data */
}
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