I would certainly recommend the above method over images to begin with, but there is a way you can include images in a compiled game.
Visit this website (or any other online image to data uri converter):
Upload your image as per the instructions and when the process is complete, copy the 'raw data' to your clipboard, it should look something like this... (...only it will be A LOT longer!)
You can then paste that raw data as the *image command's parameter (instead of a path or url).
data_uri's are extremely long however, so I suggest always making a seperate scene for each image and using *gosub_scene to include it (so you never have to open it again and it doesn't bloat your normal scenes).
so in myimage.txt:
and where you want the image to appear:
This is a perfectly acceptable and valid method for displaying images on the web, so don't be afraid to use it.
It can make images take up more a bit more space though, so it's worth making sure they're well optimized before converting them.
Time and ability permitting I would very much like to eventually make the compiler automatically convert any images included in the game to data_uris so you wouldn't have to this manually.