Always helps if you try things first...
Anyway after much headbanging and cursing I have finally got the bloody things working.
First create a directory for each type of picture you want to put in the game in the graphics\pictures directory (e.g. one for logos, another for kits, etc) and then download this tool:-
http://fm.redarmyfc.com/downloadpages.php?id=2&cat=FM%202005
Tell it the directory the files are in and what type they are (note it really helps if they're already named <Team ID>.png) and it generates the config files for you.