I can only really suggest a couple of things for you to check.
Make a folder on your C: drive or in your My Documents folder called My Website or something relevant to you. Make another folder inside of this one, and call it images (note the lower case spelling).
When you design your site and save your pages, save the pages into the My Website folder, and before you include any images as backgounds or pictures on your pages, copy the image file(s) to the images folder in the My Website folder. Once you have the images in the images folder, you should be able to save your web pages to the My Website folder and the images should (in theory) display OK.
I think what is happening is that the images could be anywhere on your hard drive and the exact location of the files is not being properly referenced. As long as your pages go into the web root folder (My Website) when you save them, and the images are in the images folder, which is inside the My Website folder, things should start to iron out.
From what I can remeber of FrontPage Express I detested it. There are far more capable programs out there. You could try nVu, from click here which allows you to design in a visual environment and has far more capability than FrontPage Express ever had.
If you get no further forward with this, post again and I'll extract a copy of FrontPage Express to install on a test system and try to replicate your problem so that I can fix it.
This thread is now locked and can not be replied to.