which appear on your pages must be present on the server - usually in a directory called 'images'.
What I don't understand is why you aren't uploading the site alterations/additions direct from FrontPage? It would be far easier, and there's no danger of any files going missing, as there is if you manually upload via your FTP program.
Make sure that you work with a local copy of the site on your hard-drive, publish all alterations and additions from within FrontPage to the local copy, and then publish the site to the remote server from FrontPage using the File/publish web option. That way you'll always have two copies of the site - one on the server and one on your machine. You'll find this easier than using an FTP program.
To retiterate: make sure that all images are placed in an images folder in the web on the server. FrontPage creates this folder automatically, so you'll just need to import the images to that folder using the File/import option in FP.