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So from this I assume I can't send the game out as a single file which can be run on someone else's machine. I got that I can make 1 .exe file, and the rest are .dat. But when I export the files they are simply in the same folder as the exe? And how does that work if I want to export the entire game for others to play. I am about to give up on this....

You CAN , but then you have to do level switching / the levels inside your MAIN project!
Correct, they need to be in the same folder as the main exe / main game.

You just export your main file/game as an executable and all your levels as data files! Then you can
pass these files to anybody else to play. Works the same for different formats like OSX or Linux.

Yeah sonicfire, I finally got it. Took a bit to sink in. I finally figured it out with the help of all you good people, and so it goes. I can be a little hard headed at times. Thanks for your support.