I store my wallpapers in the directory C:\Windows\Web\Wallpaper.
I also delete some of the uglier wallpapers or the ones I am tired of looking at from time to time.
You really should use 'del %systemroot%\... , because one does not necessarily install windows in c:\windows. My present installs are i:\fensterh (home), and i:\fensterp (pro).
It pulls some wallpapers from allusers\personal\pictures or something. That's where 'blue hills.jpg' lives, for example.