Pygame window crashes when I use pygame.image.load()

The file path has to be relative to the current working directory. The working directory is possibly different to the directory of the python file.
It is not enough to put the files in the same directory or sub directory. You also need to set the working directory.

The name and path of the file can be get by __file__. The current working directory can be retrieved with os.getcwd() and can be changed with os.chdir(path):

import os

os.chdir(os.path.dirname(os.path.abspath(__file__)))