Most people just put all of the files together into a .ZIP file or some other archive if they want people to be able to download it and play it locally. Also, it's generally not recommended that you embed a lot of files into the HTML itself because it both bloats up the file size and extremely large HTML files may not work properly in some browsers.
The main thing to remember is that you need the path and file names to be exact matches in your code. If your code tries to load "images/image.jpg", when the path and file is actually "Images/image.JPG", then that may work in some browsers and operating systems (primarily Windows), but it may not work in others (Mac and Unix) which are case sensitive.
Hope that helps! :-)