http://img43.imageshack.us/img43/4741/94747116.jpg
The two red angles are not equal. They indeed are complementary. They add to 90 degrees.
Set something flat like a piece of cardboard in front of you horizontal on your desk or table.
Set something on it like a paper clip.
Presently the slope, theta, is zero and the angle the gravitational force makes with the cardboard is 90 degrees.
Now tilt the cardboard up a small angle theta.
You can see that the gravitation force vector now gets a little off perpendicular to the cardboard, in fact by theta.
It now has a component perpendicular to the cardboard of mg cos theta
and a component in the plane of the cardboard of mg sin theta down the slope.
To draw a triangle with this, draw a line parallel to the cardboard through the tip of the downward pointing m g vector.
Then you have a hypotenuse down of mg, a component almost down for small theta of m g cos theta, and an opposite side parallel to the slope of mg sin theta.