Wikipedia – How to Enable Visual Editor

In an infobox such as the one in that article, you can refer to a image file like this: Image:Filename.jpg, but you have to first upload the image to either English Wikipedia itself or Wikimedia Commons. (Those are direct links to upload pages).

Commons is recommended (because then the image can be easily used in Wikipedias in other languages, and in other Wikimedia projects like Wiktionary), but the image needs to be freely licensed. As for English Wikipedia you are also allowed to upload non-free images under certain conditions (e.g. "fair use" rules). (Note that you are not allowed to just upload any random images off the internet, you need to either own the copyright or know that you have the right to use the image.)

Outside of an infobox, you'd typically refer to an image file like this:

[[Image:Example.jpg|right|thumb|Caption]]

There is a download available for all pages in the article namespace of the English language wikipedia which is located at:

http://dumps.wikimedia.org/enwiki/latest/enwiki-latest-all-titles-in-ns0.gz

However they do not generate this kind of list for every language, so you need to create it yourself from the all content dump. See the full list of all available dumps (just change the en-part of the URL to the language you want to see).