The featured links, reviews etc came about before thumbshots provided their free service, so getting images up for them is a bit old school.

You can create and upload your own pictures, so for example, if the site ID 2 is a featured site, you would create and upload a JPG image for it, making is brows-able at
/images/featured/2.jpg of your installation

Admittedly, it's a bit clunky. The files involved are
/includes/random.php and /include/review_inc.php

Code in /include/review_inc.php looks for the existence of a corresponding JPG file, and if so uses it, but keep in mind a featured site must have at least one review.