Wallpaper Help

I have a bunch of wallpapers saved in a folder but I want to move them to where my picture points, I've been working and searching for about an hour with no luck can somebody please help me? [img=http://img3.imageshack.us/img3/7906/fuckhelpme2il.th.jpg]

click browse, locate the image, open

if you want to make a picture your background

then click the browse thing

I've tried that and when I exit and reopen the screen there all gone.

you only need one in there at once?