Thank you for the code, I tried it but unfortunately nothing happened.
My steps:

I build my level with lights (wmb was created).
Clicked Publish, engine asked for script, I've chosen Empty Script.
I've opened SED and added your script plus:
Copied all c and h files from engine's 'include' folder in folder where EXE is.
Placed 32bit TGA texture (1024/1024) in folder where EXE is, changed the name in script: char *cTextureFile = "oldbricks1tga.tga";
Changed level name to my wmb name: level_load("Kata20old.wmb");
Started EXE file, everything went fine, level started, I was able to look around after clicking 0, closed the app.

Folder 'export' was not created by the engine, so I've created it manually in the EXE folder, started everything again, closed everything, looked inside manually created 'export' folder, still nothing there.

I'm not sure what I'm doing wrong?