PC Guard can handle executable files with or without internal overlays.
"File may contain overlays!" warning message is displayed for security reasons so that you are aware that there is additional data located at the end of binary application.
For example, if you are trying to protect application with debug information attached to it you will be warned. Protecting and distributing debug version of your application is not recommended.
In general, if you get above warning message and you are not sure what you should do, contact us with detailed information about application you are trying to protect.