I don't think that matters much, where they are. I usually just have them in a folder somewhere with nothing else in it. The main thing is to click on the texture in the material slot, then in the animation tab click on calculate so that it loads the whole sequence rather than just the first frame, then play with the range setting to get the timing right.
If you're using a regular c4d material, you can have the animation previewing in the viewport, if you're using a corona material, I don't think it will show in IR but it will render fine.