You've not stated how you convert the files into web pages (which might well be relevant here).
If I save the web page I'm currently viewing, I go to File > Save Page As (in Firefox). I could also simply hit Ctrl and S together.
I'm then presented with a dialogue box, with a 'Save as type' field at the bottom of it. To ensure that I get the whole page, I need to have 'Web page, complete' in that field. That results in TWO files showing up in the location where I save it to. One is the 'icon of the web page', which you refer to, which actually contains the instructions for building the page. The other one is a folder which contains all the files which go together to make up the page. (To view the page I have to double-click on the 'icon').
You seem to have lost the folder but retained the icon. Perhaps you've used the wrong setting for 'Save as type' or, possibly more likely, you've only emailed the icon file and not the folder that needs to go with it?