I don't know what programming language you are using, but I'm going to assume a coding language rather than a drag and drop (ClickTeam The Games Factory etc.) system.
Therefore your best bet is to have a main file/folder and within that file/folder create 3 others - GFX, SFX and DAT to hold graphics, sounds and music and data. Just make sure you put all our graphics into the "GFX" folder. Then use whatever code your language uses to load the graphics image eg.
[CODE]
LOADIMAGE("gfx\XXXXXXX.XXX"); Changing the XXX's to the name of your image
[/CODE]
Make sure you save your game into the main file/folder, otherwise it won't know where to find the "GFX" file/folder.
Old's cool