If you want to change the default folder to choose your desktop background image from, there a a registry hack which enables you to do that. Before proceeding I highly recommend you to make a backup of your registry, click here to learn how to backup your registry of Windows XP, Vista and 7. Now follow these steps.
1- Open registry editor (Press Windows key + R on your keyboard, then type regedit and press OK) Find the following key: HKEY_LOCAL_MACHINE \ SOFTWARE \ Microsoft \ Windows \ CurrentVersion In the left pane
2- Double-click on WallPaperDir (In case it does not exist, create a dWord value) In the Value field type (or paste) the path to folder of your choice (for example: “C:\My Files/My Pictures“) Press OK and Close the Registry Editor

3- Restart your computer in order to make changes take effect.