Whenever one sees a nice picture in the Internet and decides to keep it as one's screen background, it can be saved as "Internet Explorer Wallpaper.bmp".
In Windows XP, this file is found in the following location,
C:\Documents and Settings\(Profile Name)\Application Data\Microsoft\Internet Explorer\Internet Explorer Wallpaper.bmp"
Application Data" is hidden and one may need to enable to show hidden files to locate it.
