this issue happens when you use the diff "Read Data Folder First" (atleast it happened for me that way). I do not know why it happens though
Anyways, You have two choices :
1) Find a client that supports data folder reading without messing up setup.exe & key settings (i have not tried it, but maybe this one => http://rathena.org/board/files/file/2669-client-2012-04-10/)
2) Pack your data folder into a grf file and use that instead (ofcourse you will have to use shins diffpatcher on a fresh client exe leaving out the above mentioned diff).