When incorporating images into illustrator, there are 2 ways to place them: as linked image or embedded image. The linked image has to be included along with the illustrator file. The other option is to embed it.

1. Bring up links window: Click on Window menu -> Links

2. Embed image: click arrow in upper right corner of links pallet -> embed image

3. Save

Here's a YouTube video showing the same workflow:
Dim lights