It's up to you. I'm not at my house right now so I can't tell you specifically what to do. Anyway, you want to download images from wiitdb.com (there are other ways, but I use this one) then make a folder called [whatever you want it to be called] or even just put it on the root, because it really doesn't mater. Then, just go to settings>custom file paths then you should see path for images/disk images and you want to click on the path and then choose the path to where your images are.
Alternatively, you can just click on "list view" and then click on the game cover. USB Loader GX will then prompt you to what you want to do, you should click what you want (normal covers/high quality images look best on "list view" whereas 3d covers look best on the other 2 views) and then it should download. Note: You can only do this if you have wi-fi.
Hope I helped ^^