When you download a message created with BEE Free, the HTML code included in the ZIP file is automatically updated so that it points to the images that you downloaded with it.
So, for example, the HTML code of the email would contain something like...
<img src="images/help.png" alt="" data-embeded="auto" style="vertical-align: top; width: 112px;" width="112">
As you can see, the code looks for the "help.png" image in the local "images" folder.
If you are using BEE Pro, please see this other, relate article on using local vs. remotely hosted images.