Where does Windows store its current wallpaper?

Windows XP (Reference):

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.

The specifics would depend on your Windows version, but going by Windows 7 (which should be reasonably useful in the absence of a specified version, and which I have easy access to):

• 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

This should provide you access to the file so that you can copy or save it elsewhere. I would guess that it is stored in a temporary files folder somewhere currently.