When you say the original sprites aren't on your computer, do you mean the ones in the download? The Spacethumper_2 folder doesn't contain any base sprites since those are built into the game by default, and should only contain the settings data and any save files you've made. Double check that the images themselves are in the Spacethumper_2 folder in your local app data alongside the settings and save data and not in a separate folder, that could be causing the issue.