When you add graphics to a project Help+Manual inserts a reference to the graphic file that only contains the name of the file. It finds the graphics by looking in the folders listed in the Project Search Path, which is defined in the Configuration section of your project. The folders here are searched in order and the first file with a matching name is used.
This strategy makes it very easy to organize and move your graphics files – you just need to change the settings in the Project Search Path to let Help+Manual know where to look for the graphics.
It is generally advisable to store your image folders together with your project folder.
If you use multiple graphics folders it is very important to avoid duplicate filenames in different image folders! If you have duplicates Help+Manual will only find the first version of the graphics file with a matching name.