Help with excel pictures please.

Ok I run a report from our system in work. It comes down as an excel file. this report is raw data and we tidy it up into a more visually pleasing report. the report contains pictures. the picture are in the report as a thumbnail and when you click on the picture it opens up the larger picture in windows picture and fax viewer. when i finish my final report i zip it and send it to the client. the zip file contains all the pictures and excel file. when the client get's it and opens the file, where the pictures are it says "the linked image cannot be displayed. the file may have been moved, renamed or deleted. verify that the link points to the correct file and location" when i click this message the picture pop's up fine. it's just the thumbnail does not show in excel.

any ideas?