Not sure how you got them but if you downloaded them they were auto put in the downloads folder, or you can change your Prefs like I did and all my downloads go into a folder on the desktop.I have been using PC like forever and Mac seems to hide jpg files because I can't find them in Finder. I is prolly ok just going to take some time I guess.
I trashed a bunch of photos in iPhoto and emptied trash and they still show up on my back ground and screen saver.