You need to copy the sprites images in the sprites subdirectory of your project root. If you use RobotSim, download the JGameGrid distribution and follow installation hints in the readme.txt (in subfolder robotsim). It says:
1. Download the latest version of the JGameGrid framework.
Unpack the ZIP archive in any folder.
2. Within your favorite IDE add JGameGrid.jar and RobotSim.jar to the
external libraries of your Java project.
3. Copy the sprite images from the examples/src/sprites subdirectory to
a sprites subfolder of your project source.
4. Try to compile and run some of the examples.
5. Consult the JavaDoc by opening index.html in the doc subdirectory.
I hope this helps.