One way to do it is to include the file in your project:
Open your project in the Solution Explorer pane, and right click the project. Select "Add...existing item"
Browse to the file (remembering to select the file type in the dialog) and insert it into your project. This will copy the file to your project folder.
Double click on "My Project", and select "Resources" from the tabs on the right hand side.
Drag your file from Solution Explorer and drop it on the page. This will add it as a resource.
Close the page, and highlight the file in Solution Explorer.
Look at the Properties pane, and change "Build Action" to "Embedded Resource".
You can now add the whole text of the file to your code with:
Dim data As String = My.Resources.NameOfTheFileWithoutTheExtension
And the file will be included as part of your executable.
Do note that this means you can change the file before compiling, but you can't change it's content from inside your application.