There are some legitimate reasons to do such a thing. I've done something similar before so that I could keep the two files together without resorting to writing an installation program.
I think there are at least two choices:
1) compile it as a resource in the resource file.
2) just append it to the end of the executable and extract it yourself whenever you want to. First get the size of the program without the attachment, attach the file, then append another line that is the size of the original program. After than, in the original program add some code that extracts the appended file.