Hi,
LC Designer has limited support for image files. Generally I would stick with JPEG or PNG. It you are trying to being in an image with transparencies, then it will need to be saved for the web and 8-bit PNG.
Also the colour space of the original image will need to be RGB, not CMYK.
Once you have the image file sorted, the only way to reliably to bring it into Designer, is to drag an Image object (or ImageField object) onto the page and then use the link to set the content of the image object. You do not need to embed the image, unless you are developing the form with other developers who would not have access to the image.
Example here: http://assure.ly/mcFrC6.
Hope that helps,
Niall