in cryengine 3 FIle menu there is an option called "Save Level Resources" , when i cick on it saves all my level data in organized folders, the question is what I benefit from this? can it be used for compiling these level data into .exe file?

It makes it easier to share maps that include a lot of custom assets, like scripts, models, sounds. Basically it saves everything you could have changed, and packages it so you can send it to your team and they wont be missing objects because you forgot to save them individually.
No it wont make an .exe file.