I just did a fresh install of SQuirreL 2.6.6. I open ./doc/faq.html, and I find that all of the links to .gif are broken links.
I downloaded the source code, and I see that all of the relevant images (border_b.gif, border_bl.gif, border_br.gif, etc.) are included in sql12/web-site/images. So it appears to be a build issue. The packaged binaries ought to include these images.
The same issue applies to the other html files in the doc folder. The temporary workaround is to download the source and copy the contents of the images directory.