Make the same solder structure to your theme in your visual studio project
/App_Data/Sitefinty/WebsiteTemplates/YourTemplate/App_Themes/YourTheme. In the Global folder put your css files and cssLoadOrder.xml. Images should be in your template folder /App_Data/Sitefinty/WebsiteTemplates/YourTemplate/App_Themes/YourTheme/Images. The error you are getting is because either your folder structure is not correct or you haven`t registered the theme with the correct path. When registering the theme make sure you use the relative path ~/App_Data/Sitefin....
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