Today I played a match and someone had a custom grave but I cant find it in the directory folder /User/Graves, this is downloaded on other folder or something? the custom files ingame matches are only for watch and are not downloaded?

Custom graves aren't saved in any way, presumably to make it harder to impersonate people. You can download the map and scheme by right-clicking the replay though.

Use the native resolution of your monitor, make a screenshot and cut the desired flags or graves.

Other than that, you can browse various Worms related fansites and search for the files.
Preferably download some packs.
That is, if the requested file wasn't uniquely made by the user and not uploaded anywhere.

W:A won't let you take screenshots with the print key though - instead, screenshots may be saved to a custom W:A folder with some key. I'd tell you if I didn't keep forgetting it myself.

Pause/Break key I believe will take screen shots and dump them in to the appropriate folder in the games installation path..