How can I put all the sprites inside the .exe file so that the game is only the .exe insted of the .exe and the folder with all the sprites and sfx?

http://code.google.com/p/bin2h/

Basically you convert the data to an array in C. You'll need to provide your own custom loading routines, but that's not too hard to do.

You use the memfile addon for this (al_open_memfile).

Sorry but I don't really get, what am I supose to do with the array I get from bin2h?

Pass it as the first argument of al_open_memfile.

I'm currently using Allegro 4 and that function doesn't exist. Is there any other function for this?

Allegro 4 has its own data file format that you can use. And there'a a tool called exedat that adds the data file to the executable.

EDIT: Look at the examples, etc.

With Allegro 4, the simplest is to store all the resources in a datafile, and then for release you use the exedat utility to append the datafile at the end of the executable. See example "exexedat.c"