they are in the list of desktop wallpapers, try looking for the files in the C:\Windows folder (this is normally where .bmp files are located that are the wallpapers so the .jpg files will probably also be located there). Once you locate the files, just MOVE them from that folder to where you want them to be instead and they will automatically be removed from that list at the same time.
While messing with some family photos, I somehow added these to my display properties window. Now I can't delete them. How do I delete these 26 unwanted pics.