I think either one works. All of the player photos I have are "Firstname_Lastname.bmp", and they all work just fine. I think the game also accepts the pNUMBER.bmp format for generated players...but it's a lot easier to match up the pictures the other way.
But I know from experience that Firstname_Lastname.bmp works just fine.
Where's DraftDodger or TigerFan when you need 'em?
--Eriq.