What would be the best method to store resources in an application?

What would be the best method to store resources in an application?

This might seem like a broad question - but there is absolutely no answer
to this at all anywhere on the internet.
I am, like always, developing a game in C++ w/ DirectX 9. In a previous
question, I asked how to embed resources into an executable using a
resource script.
You can have a look at it here.
Anyway, I have recently been using Resource Hacker to open some games
installed on my system. None of them have any (visible) resources in them.
Clearly storing resources IN an executable isn't a good idea. I just want
to know how games store resources (sprites, sound etc) so that I can
research this.
Please don't just close this immediately, I asked this over at GameDev and
within six minutes the question was closed with absolutely no reason from
the person who did it.