the issue is the location of the original files
it works for biggieboy because he already copied those files and didn't mention it (or likely doesn't even remember that he did it)
Steam has the original files in a folder called "XCOM", whereas openxcom needs them in a folder called "UFO".... so copy everything from "XCOM" into "UFO" and it will work...
...ninjad by R1dO, oh well, I'll post anyway
(btw. R1dO suggests to copy them to %Documents%/OpenXcom/UFO which will also work... both locations are valid for openxcom, mine and R1dO's)