Molebox is good if a little pricey (~£50).
A little tip for anybody trying it :- it doesn't seem to like it if your code changes the directory to load something. Its easily work-aroundable by specifying the path instead of switching the dir eg. LoadMesh("meshes\thing.x") is okay but ChangeDir(meshes) isn't. Bit annoying, but I think this also allows you to access external media NOT wrapped up in the exe (so you could give the user access to some things and not others). ChangeDir() essentially breaks out of the encrypted exe back to the working directory. Good stuff.
A little tip for anybody trying it :- it doesn't seem to like it if your code changes the directory to load something. Its easily work-aroundable by specifying the path instead of switching the dir eg. LoadMesh("meshes\thing.x") is okay but ChangeDir(meshes) isn't. Bit annoying, but I think this also allows you to access external media NOT wrapped up in the exe (so you could give the user access to some things and not others). ChangeDir() essentially breaks out of the encrypted exe back to the working directory. Good stuff.