Since SQLyog does not have a scripting language (and I argue against it if anybody is interested) this is really beyond the scope of the program. SQLyog is a query analyzer and maintenance tool. You would be better off utilizing a scripting language for something like this. PHP or PERL if you are on a real OS, VB otherwise. (Since I don't know PERL, lean on PHP for this kind of thing a lot.)
You are right, most major systems do not do this by hand but they also don't try and use a query analyzer to do it.
Off the top of my head the login would be something like
get an array of the directory
loop through the array in a for/next loop inserting one record into the table for each image with it's path and anything else you want to include.
fairly simple.
HTH,
=C=