What you are referring to Gordon; is the W10 Lock screen.
Located @ Settings/Personalization/Lock screen.
By default it is set to Windows Spotlight.
If you click on the arrow to the right of the Spotlight Box & select Picture it will show you the 5 last images used below, you can then select which one you want & it will be used until you change it or change the setting to spotlight again.
Hope that's what you meant.
EDIT: just in case you want the actual location of the source files.
They are located at: C:\Users\{your name}\AppData\Local\Packages\Microsoft.Windows.Content DeliveryManager_cw5n1h2txyewy\LocalState\Assets
You will need to change the folder view to Hidden Files to find this address.
As they are blank transcoded files, it's best to copy them to desktop, find the one you want, then rename them and save them.
Not as easy as you may imagine.
They are changed from time to time by Windows; so all that have been previously used may no longer be there.
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