You can find the actual path in the registry key named Wallpaper at [HKEY_CURRENT_USER\Control Panel\Desktop]
Usually it's something like:
C:\Documents and Settings\ [YOURUSERNAME] \Local Settings\Application Data\Microsoft\Wallpaper1.bmp
Windows 7 (Reference):
C:\Windows\Web\Wallpaper (default themes)
C:\Users\ [YOURUSERNAME] \AppData\Local\Microsoft\Windows\Themes ( any new themes that you might have installed )
C:\Users\ [YOURUSERNAME] \AppData\Roaming\Microsoft\Windows\Themes ( any other pictures that you might have made as an wallpaper.
right-click on the desktop and pick Personalize
click Desktop Background
right-click on the selected image and either:
pick Properties and look under General, Location
or, pick something under Open With