Extract Components.zip into the Pictures\Components folder. It is okay to do so in the stock Pictures folder, because it does not change any stock images, just adds many new ones. And, it will save having to have to have 10 copies of all those images in different mods.
Each other file gets installed in the exact same manner, using the appropriate folder under Pictures instead of Components. So Combat.zip gets extracted to Pictures\Combat and so on.
Yes, you want to overwrite files named Components.bmp, Beams.bmp, Torps.bmp, and so on. These contain a table of the "minis" for each image, as they have a 128x128 pixel "portrait" and a 36x36 pixel "mini".