Scott told me a while back to put all files into the Files folder under the website_vnu folder. I copy all images, mp3's etc here before I use them in vsd. Then vsd can always find them and you can always backup and restore the one folder knowing that you have all the files you need.
I did find that if I use mouseover on a text box vsd creates an IMG000xx file and a MO_IMG000xx file for each occurrence. These files can get out of hand. I use these things as a menu to link between pages on my band site (html://www.uphilltheband.com/) There were dozens of these files floating about. I am slowly replacing them with photoshop created images so that I can use the same image on numerous pages. (See the gigs link). Bruce gave me a hint how to remove the unused IMG000xx files.
Tim