The path is relative to the HTML document. So if your image and SWF are not in the same directory as the HTML you need to provide a path (absolute or relative to the HTML).
So if your SWF and image are in 'media' directory you would need:
imLoader.load(new URLRequest("media/photo.jpg"));
//or
imLoader.load(new URLRequest("/media/photo.jpg"));
//or (if SWF and image are on different server)
imLoader.load(new URLRequest("http://www.domain.com/media/photo.jpg"));