Try this. It worked at my end. Using Yii's baseurl is the best way to reference directories.
<?php echo TbHtml::carousel(array(
array('image' => Yii::app()->request->baseUrl.'/images/download.jpg', 'label' => 'First Thumbnail label', 'caption' => 'image1'),
array('image' => Yii::app()->request->baseUrl.'/images/download1.jpg', 'label' => 'Second Thumbnail label', 'caption' => 'image2'),
)); ?>