you can load images/sounds with the desktop manager for windows: BlackBerry - BlackBerry - Sys Req V4-2 Pack 2
thats the same software the would have been on the CD.
typically if i find a pic somewhere i just email it to myself as was suggested above and then save it to the pictures folder.
while you are at it you can upgrade to the 4.2.2.x OS software for your device. see the sticky at top of this forums for more info. several pages of reading there. did the upgrade myself this weekend and its been an improvement overall.