I had a user who set their background in Windows but lost the file. They asked if I could recover it. After doing some research I discovered the location of their wallpaper.
c:\%USERNAME%\AppData\Roaming\Microsoft\Windows Photo Viewer\Windows Photo Viewer Wallpaper.jpg
If you are trying to locate the default Windows wallpapers they are located at
c:\%USERNAME%\Windows\Web\Wallpaper