Can courses published as single file executable play videos?

I have saved a course as a single file executable. I played the file on the computer which I have Lectora installed and the course which included a video file, and the video file played. When I tried it on another computer, the video did not play - simply a picture file was shown with no video.

Should videos be able to play in this type of set-up or are all pictures and videos saved as image file?

Thanks,

Bill