Can i compile files like:
- Images,
- sounds,
- fonts,
- etc..  
For example if I have "click.wav" and i dont want to let users play it themself.
From what I've done, no, you cannot. The best ways imo are as follows:
Making folders (files>images) to make it less desirable to look for them.
(Not sure how well this would work with pygame) but hidden folders might work. I used hidden folders for file writing in python.
Otherwise I think that it wouldn't be so bad if someone were to just play a sound file or look at your artwork, is there a specific problem with it?
Compiled my Game made in pygame to .exe. Is there any way to compile all files?