Blitz3D and Resource Hack

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it "could" unless you have your media, etc...packed into the executable. When you use resource hacker to change the icon, do you save/recompile the executable with the resource hacker?
***EDIT***
When you open your executable with a resource hacker, it shows you all of the resources inside of the executable. If you change an icon, for example, inside the executable and yet the icon still pops up, then there are only two possibilities:
1. The icon is still inside the .exe file
2. The icon is in an outside source.