Hi portybelle,
Although a GEDCOM file can't include images the GEDCOM spec does allow the ability to include pointers to images using 'OBJE' tags. From the description you've given I suspect that the Myheritage export has included some of these tags in the GEDCOM file which have then been imported into FTM. Unfortunately I also suspect that the 'OBJE' tags are pointing to a location not on your hard disc, probably on the Myheritage server. (If you're interested, you could check this by opening the GEDCOM file in a text editor and searching for the 'OBJE' tags)
Assuming that the 'OBJE' tags are in the GEDCOM file and you have copies of the photos on your hard disc you could use an edit FIND/REPLACE to change the tags to point to where the photos are located, e.g. the FTM Media folder. Then it's just a matter of re-importing the GEDCOM as a new tree into FTM.
If you don't fancy that route, it's a matter of re-adding each photo to FTM. If you try to open each of the media items within your existing FTM file, from either the PEOPLE or MEDIA workplaces, FTM should give you the location of where it thinks the photo is (but can't find) and the option to search your local hard drive for the actual location.
Regards, Ian.
