Where you store your background images is really up to you. You can save them to the C:\Windows\Web\Wallpaper folder, which allows you to keep all the background files together. Or you can play it safer (I don't advocate saving anything to the Windows folder or its subfolders if you can help it) and save the background images to the My Pictures folder, which is a subfolder of My Documents. This location actually makes a lot of sense because Windows defaults to this folder when you click the Browse button on the Desktop tab of the Display Properties dialog box.
Obviously, another alternative is to create your own folder for your backgrounds or save backgrounds with a particular theme or other theme elements in a folder created for that theme. Whichever choice you make in terms of a home for your background files (and all the other theme/skin elements you download and create), try to stay organized. It isn't much fun spending a lot of time searching all over your computer for a background you've downloaded when it really takes only a few seconds and a couple of quick clicks to actually apply that background to the desktop.
So, the bottom line is that you should put together some sort of system for storing your background and other skin files. Now that you know where you will store your background files, let's take a look at some web sources for Windows backgrounds. We'll then discuss some of the options for creating your own backgrounds.
If your computer is equipped with a CD burner, you can always offload any background (or other skin-related) files by burning them to a CD. This is particularly useful if you have accumulated a large number of backgrounds (or other files) and want to free up disk space. Just make sure you label the CD so you know what you have stored on it.