Make sure the flags you are saving are in the proper format, thats the first thing to check. Make sure you don't have a double extension. Sometimes Windows can be stupid about that, and you wind up with a Flago0021.jpg.jpg
Also check that the .jpg is something like 490x300ish, if its too large, you may be having issues there.
As long as the flags follow the same format Flag0000.jpg you should be ok. You can have more than the basic number.
I have a huge number of flags now, and modify things in the directory all the time to get rid of state/national/organizational flags that break my sense of immersion. I added a ton of fictional, historical, and obscure flags for that purpose. I just renamed them, and dropped them right in, no issues.