Desktopmates sells msagent characters. To easily use an msagent character in Ultra Hal, desktopmates supplies FREE plugins.
It sounds like you didn't download the character you paid for, you only downloaded the free plugin.
You should download and install the character, make sure it's in the c:/windows/msagent/chars folder, then run the plugin.
The jpegs are part of the plugin, they're not part of the character.