The program looks first in folder called ..\ctp2_data\english\graphics\pictures\ folder. Replace english with whatever language you are using if it is not English. If it is a *.tga file and if it is not there than the program replaces the extension by *.rim and checkes whether that is in a *.zfs file in the same folder.
If it is not there it checks the ..\ctp2_data\default\graphics\pictures\ folder for the same files. From our CTP2 download database you can the ZFS viewer, so explore the *.zfs files.