Images: Your app_themes folder name needs to be the same as the site stylesheet you created (
http://devnet.kentico.com/docs/4_0/tutorial/app_themes.htm). You can reference the images within using the form: ~/App_Themes/<folder name>/Images/sample.jpg
Javascript: You can place your .js file pretty much anywhere in your project that you want and have it work. You can link to it directly in your templates or master page using the project path where it resides:
<script language="javascript" type="text/javascript"
src="~/CMSTemplates/<site name>/Javascript/test.js"></script>
CSS: Did you check the css out to file before looking for it in the project folder? The folder and file won't actually be created until you check the file out for the first time.