Do you know that Windows caches and stores the current set desktop wallpaper at a specific location for the current user logged in? In order to get the wallpaper, go to the location path given below.
“C:\Documents and Settings\\Local Settings\Application Data\Microsoft”
Replace the username in the above path and copy this path in the address bar of Windows Explorer and press Enter. You will land up in a folder by above path containing the current set desktop wallpaper as a file named wallpaper1.bmp. Copy the wallpaper1.bmp to any storage media as required.