GTK 2.22 for Windows: the 'hicolor' theme was not found

["Miroslav Rajcic" <rajcic sokrates hr>]

I am using the latest GTK 2.22 build for Windows found at gtk.org.
I've noticed that since this version, when opening GtkFileChooserDialog I 
get this printout in the terminal:

----------------
Could not find the icon 'gtk-file'. The 'hicolor' theme
was not found either, perhaps you need to install it.
You can get a copy from:
http://icon-theme.freedesktop.org/releases
----------------

Is this a problem with the new build or I have missed a package that I need 
to install ?
I've checked the URL from the warning, and the package there ships the 
.theme file.
Is this enough to solve the problem, I see no images being shipped with that 
package ?