If you mean screensaver - as above.
if you mean desktop wallpaper, then under Windows 7 I put mine in C: \Wallpapers and told the desktop "Personalise" function where they are. I suspect Vista will do the same.
I think the default location for them was umpteen levels down in some obscure file path that I would never remember. The simple method above works fine for me. I've collected all the desktop pix I like into that one location.