Some implementations of Java will not allow you to put the .class file in one subdirectory and the image file in another. If the try it might cause a security exception. The questions should be listed in the order in which they appear. Some web browsers have trouble opening applets straight from a hard disk. I have noticed this happen with Internet Explorer 3 and Netscape 4.
Class files are binary files, just like image files are.
You should transfer them in the same way that you transfer image files. This is a very common problem. Your transfer program has changed the name. This does happen. Other will change the case of the letters to either all uppercase or all lowercase.