Try the places wallpaper can be.
BMP Files from C:\WINDOWS
BMP, JPG, GIF, JPE, DIB, PNG, HTM files from the following locations:
C:\Windows\Web\Wallpaper
C:\Documents and Settings\<username>\My Documents\My Pictures
(+subfolders)
C:\Documents and Settings\<username>\Application
Data\Microsoft\Internet Explorer
C:\Program Files\Plus!\Themes (+subfolders)
....Alan