Put them into your windows folder.

Actually...Windows/Web/Wallpaper.

Or you can put them in your pictures. Thats what I do.
Then just right click and "set them as your background"
  

In another thread it was determined that when you use this function in Vista the quality is degraded.  Be warned. 

I have a folder under My Documents called "My Wallpaper"

There's no right or wrong place but putting them in Windows/Web/Wallpaper means you won't have to "Browse" for them.

Since we had the option to change wallpapers inside WB6, I put mine in Public/Documents/Stardock/Windowblinds/Wallpapers.... makes things easy for old geezers like me, lol   

So....Actually......was a bit over strong  as you can just about put them anywhere and you will be right.

Ok....shoot me then! Wallpapers have always gone into that folder...at least on my pc...until everyone started making one folder after another for them to go in. I prefer to keep things tidy...a place for everything and everything in its place. I really don't like having numerous folders for one thing.

....best answer I've heard in ages...   



...you are referring to someone else's machine...right...???   

My tree........

My Documents>
My Wallpapers>
Fullscreen>-----------------------Widescreen>-----------------abortion>
1024x768---------------------------1280x800-------------------1280x1024
1152x864---------------------------1440x900
1280x960---------------------------1920x1200
1600x1200
DualScreen

Yeah.....Mine ya grouch! Ok ok....I have other folders in My Documents for incoming walls...but as soon as they are sorted out they go in one place.

Yet another option:If it goes with a WB,you can open WB config,go to the wallpaper tab and drag and drop the wall into it.Then select it when you change WindowBlinds.