I found it just the other day...I am running 98-SE
go to MY COMPUTER
click on the C drive
Click on windows (tell it to show hidden files if you can not see them)
Look for a folder called WEB and click on it..
there is a folder in there called WALLPAPER that has all of your pictures in it...
also--if you tell it to save as wallpaper it may save it as a .bmp file on WINDOWS and it will be listed by name.---I move all of mine into the wallpaper file....
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