It should be in C:\Documents and Settings\Your User Acount\Application Data\Microsoft\Internet Explorer. A file called Internet Explorer Wallpaper.bmp

Right click it and Rename it to something else.bmp so you'll know what it is. Move it to your pictures folder if you want.

If you don't rename it and move it before you right click and select another picture to set as wallpaper, it will be overwritten by the new selection.