Heres how it works: whenever you add an image to your project, its copied into your projects Images folder first. Then the project uses that copy instead of the original. (Which is why the File setting is always a path like "AutoPlay\Images\redshoes.jpg" even if you added the file from "C:\My Documents\Graphics\Pictures" of clown feet.)
This is done so you're always working with a local copy of the file - one that wont be affected by any changes you (or someone else) might later make to the original. It also means that your project wont mind in the least if the original file is ever moved or misplaced. This makes your project much more robust. (So, if someone ever comes along and decides that a nice person like you doesn't need all those pictures of clown feet in the My Documents folder, AutoPlay's got you covered.)
Now, most of the time you don't have to worry about this - not even one iota. You just browse for the file you want, and let AutoPlay take care of things like copying files and making your project reliable. But, its good information to know, because it helps you understand why its so easy to add the same image to your project a second time around.
Note: If you aren't comfortable with files, folders and subfolders, just think of the Project pane as the place where you can see all the files that you've added to your project. The folders just divide the pane into different sections to keep your project files organized.