There are actually three sets of graphic images (can be more) for DNN skins. There is the Logo, the DotNetNuke at the top of this page for example. That goes wherever the [LOGO] is designed into the skin (HTML). This is a file you can change from within DNN, on the Site Settings page.
There are also the many little "icon" types of elements, such as the down arrow in a menu, the RSS icon in a container and so on. These are in the main DNN Images folder hierarchy, Then there are the skin graphics, usually in the skin folder or subfolder. These are the "slices" you see, both for the skin and for the containers in the containers folder for the skin. These are assembled by the skin/container, and may flow under your other graphic images. There may or may not be a background image in your DNN as well, the background that shows outside the skin, somtimes covered by the skin itself. And all these graphic elements can be assembled as images in a table, CSS images/backgrounds or usually, a combination of the two. It can be very confusing.
Some skins will provide a Photoshp file with the various layers available for you to change and export. Most will provide just the skin images. And some of the the skin images will usually repeat, so even having the image you can't easily assemble a reproduction of the site in Photoshop. And yes, you often do slice a large image into tiny little pieces. A tiny little piece that repeats 50 times is faster to transfer, since it's cached by the client, than the entire large image.
None of this helps with your specific issue though. And we can't see what you see. Either give us a URL to look at, or the original place you bought the skin might help, or turn your monitor to face the window.
Nope, still can't see your montior, you'll have to post a URL...
Jeff