if you know the file name of the downloaded wallpaper, do a search for that name
on your computer... and adjust the settings of the search to included hidden files and
folders. you should then be able to open the containing folder & get to them that way.
also, most web browsers open a separate window for downloads... a download manager. in the web browser's download manager, you can right click on the wallpaper and there should be an option to open the containing folder.
once you find the missing wallpapers, you can then copy them to your desired location.
toodles,
harmless
