Are you playing Cave Story+ or the Mac port of Cave Story?
If you have the Mac port, Control-Click "Cave Story" and click "Show Package Contents." Click on "Contents," then "Resources," then "Data." The main character and other sprites are found in the data folder itself, and the rest of the NPCs are found in "Npc."
As for Cave Story+, I assume you can find the contents the same way by Control-Clicking the game, and finding the desired files the same way.
To change the *.pbm files to *.bmp files, Control-Click the .pbm, click "Get Info," and change the extension.
EDIT: For the PC version of Cave Story+, go into the Steam Folder, click on steamapps\common\cave story+\data\base for the graphics. The new graphics can be found in in the base folder, and the old graphics can be found in \ogph.
END EDIT
As for Cave Story Wii, we are not allowed to distribute any of the files because of
this.