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You have to place files in several directories.

The files with the SPR extension go into GFX\map\units. Most of the BMP ones (the ones with the sprite in them) go into GFX\map\units\bmp. The BMPs carrying the palettes (they're the ones that don't have an A-(STAND/FIRE/WALK/FIGHT) in the name) go into GFX\palette.