If you're lucky, the game uses a simple system where the exe is compressed, but then dumps everything into a temp folder. If so, your job is literally as easy as just picking up the pieces in the temp folder dumps.
However, that sort of protection is not very common in games made in the last 10 years. So usually, everything is encrypted in the exe, and then decompressed in memory.
Generally, the best thing to do is let the program decompress itself into memory and use something like OllyDBG and hunt down image or video headers and scrape everything.