Did you capture the images through the program capture window, or were they imported into MonkeyJam?
Sounds to me like coolasice is on the right track, although from what you've posted it looks like the path you need to check is the saved location of your images. If it's doing this when try to render a preview, I suspect MJ either cannot find the folder the images are linked from (when you import images, it should give you an option as to whether you copy them into a dedicated folder, or if you just link to them from their current location. I would imagine it might throw this error if it can't find the original location of a linked image), or it can't access the folder because it doesn't have permission to do so from your computer. You may want to go into preferences for MonkeyJam itself and run it as an Administrator to make sure it has access to the folder you've placed the images in.
TL;DR version: set MonkeyJam to run as administrator, make sure your images actually exist where MonkeyJam thinks they exist. If neither of these is the problem, I have no idea. Monkeyjam is an old, buggy program, so it does have moments where it misbehaves for no apparent reason. Hopefully the change of site means the developer is going to unleash a new version soon (he seemed to hint at it in his blog), but I'm not holding my breath.