In an attempt to help those that don't understand or this won't work for (etc..):
Step 1: Open up your "Conquer 2.0" folder.
Step 2: Open "data".
Step 3: Open "pic".
Step 4: Create folder "shadow", no quotations. If you already have folder "shadow" then place it there and select "Yes" or "Yes to all" if it asks you to replace a file.
Step 5: Save your selected shadow into this folder. (No real need to worry about viruses this way, it's next to impossible to put a trojan/virus/worm in a .dds file.)
When done it should look like this (when fully zoomed out):