If you are using an IDE like Jbuilder (or something
similar I assume) the IDE creates two (three with
backup) kindof nonstandard folders that might differ
from your tutorial (I haver not checked it). For
example JBuilder has one folder  with its class  files
and one with its source files but no folder for pic
files. You shold put your pictures in the source
folder and JBuilder will automatically transfer them
into the "executables" or class directory or to be
absolutely sure (or if you have changed the image) put
a copy of it in both the directories). If you use
another IDE check where the source code  xxx.java files
are located or if no IDE or if a very simple IDE like
Kawa that works like a text  editor is present check
for the combined .class and .java folder and put your
image there, as far as I know only .gif and .jpg.
Later make sure that you put them into the .jar or
package etc but I guess you're not there yet.