No they need to go into the My Documents Folder (Unless you have choosen a different location for your User Data folder).
After you have run the game once. Goto My Docuements, a Sports Interactive folder should have been created, double click on this and double click on the Football Manager 2008 folder, now you should see several folders (db, games, matches, etc...) if there is no graphics folder, create a new folder and call it graphics.
When you download faces, kits, logos you need to extract them from the zip/rar files into the graphics, where they are in the graphics folder for the game doesn't matter, though for yourself it is best to have some kind of filing system (i.e. create a logos folder in the graphics folder and put the logos in there).
If you still have the white screen at startup then you will need to delete the Cache files, which are located in:
C

Documents and Settings\
<YOUR NAME>\Application Data\Sports Interactive\Football Manager 2008 Demo\cache\english
Where YOUR NAME is the name of your Windows logon. If you are not using Windows XP then this folder maybe in a different location.