Right-click any blank space on your Windows XP Desktop, select Properties then click the Desktop tab. Down in the Background section is a list of the standard XP wallpaper images ... plus any that may have been added to the default C:\WINDOWS\Web\Wallpaper folder.

To the right of that Background section is a Browse... button. When you click it, you can browse to any folder on any drive currently available. If you select a picture from any of these other folders, Windows will remember that folder location. So, the next time you click the Browse... button, you won't have to dig to try and find it again.