There have been a few reports of problems like this (e.g. World Index images broken in Inform 7) but no-one’s ever responded to follow-up questions to track this down.
As far as I can make out, this may occur if the project has been saved to a network drive, and IE’s security permissions have been changed so that it won’t, by default, display images from web pages loaded from the network drive. Do you know where the project was saved? Could it be on a networked drive?