They don't go into a folder. Instead, you use BrawlBox to open either your common5.pac, or sc_selcharacter.pac (depending on what you use), and then you open and alter the following:
COMMON5:
Sorry but you are not allowed to view spoiler contents.
SC_SELCHARACTER:
Sorry but you are not allowed to view spoiler contents.
Inside of those, you'll find all of the in-game CSP's. To replace one, right click the name (MenSelchrFaceB.XXX), and press replace. Then find the .png you want, and that should be it :P
._. I have a habit of making the easiest crap sound difficult. Sorry xD