The reason is that all of your image src in the header are like thi <img src="image.gif"> So it's going to look in the current directory (which it thinks is /ubbthreads.php/ubb/cfrm) which obviously doesn't exist.
2 ways to fix this. Change your header include so you include the full relative url, ie <img src="/image.gif"> or <img src="/images/image.gif">.
The second is to disable search engine friendly URLs.
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If you're linking to items via ../ or similar, you will have errors with SE friendly URLs (as it creates "virtual" directories in the URL and has PHP parse them)...
You'll want to hardcode links to graphics to get around this.