Ashish has some very informative recent posts about resource loading in WPF.
This stuff is important to just about anyone writing a WPF application, and I don’t think it’s hit MSDN yet. It’s a pretty nice model — you can just use URIs for everything, and there are abstractions that enable you to be agnostic of hosting model (browser/standalone), packaging model (loose/embedded), and site of origin (the location from which the application was deployed).