When i grabbed some player picks, what I did was sling them in the photos directory in your league directory (the one that ends .lg). To show up on the game, the way I did it (since it's a fictional league) is they were numbered 1-2000.bmp, so 1.bmp, 2.bmp etc... This coincides with player numbers in the game. Since it's fictional, it didn't matter what picture went where.
If you're trying to set it up for specific players having specifica pictures, I have no idea.
Oh yeah, in the league setup screen you need to click "enable all photos" or whatever the button is. It should be obvious