It looks like you either are missing the assets (.hha files in the data directory) or you haven't set the working directory properly.
If you are missing the .hha files you need to download the art pack (3 of them I think) from your sendowl link and use the "test asset builder" to build the .hha files. The problem is that in the last version of hmh the test asset builder doesn't compile (It's commented out in build.bat). So you would need to use an older version (Day 400 for example) and build the assets (the readme.txt file has some explanations). And since we have change the format you will need to convert the file to the new format using "hhaedit.exe -rewrite" (from day 478).
If you have the .hha files: if you are running from visual studio, in project > properties set the working directory to be the "handmade" directory (the parent directory of the "code" directory). The readme says that it should be "handmade/data" but it wont work if you set it to that. If you are running from a command line, just go to the handmade directory, and run the executable from there (somthing like "../build/win32_handmade.exe" ).