How to build game with data/sound/savegame etc folder?

When I build my game it export a exe file and with a data folder. I want to build the game that have data or sound or savegame folder or is there any way to make the folder that contain game data levels etc?

There are many tuts on this subject. The “Learn” / Tutorials section (link atop this site) have great vids; for example, please review

http://unity3d.com/learn/tutorials/modules/beginner/live-training-archive/persistence-data-saving-loading