/App_Themes/Default/Images/Images.zip. Leave the images zipped, the system reads them from the .zip file. If you don't have that directory, I'm guessing it was inadvertently deleted. The easiest way to get it back is to create a new install of it. You should leave the /App_Themes/Default, /App_Themes/Design and /App_Themes/Global directories and files as they are used for the design and layout of the CMSDesk and Site Manager.