Where can I find all those files? Read through this post and you will have a better understanding on How and Where.
You can of course use your own pictures where ever they’re located on your disk. Keep in mind that the size, bit depth, dpi, resolution. does matters.
You can use Affinity, Photoshop or similar software to create, scale resize, your pictures et..
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So where do I change the different screens?
Click on you Windows icon down in the left corner, scroll down to ‘S‘ to find setting, click in the icon and you will be receive following screen:

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Here you select ‘Personalization’ and follow screen will appear:

Here you can now find the Lock Screen, Background, Themes and much more.
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So, now you know how to change the pictures on the different screens. But where are those files?

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You will find all the different pictures used in following location: C:\Windows\Web
As you can see in the left pane, you have under web folder several different folders that all contain different types/versions of pictures.
On my installation Windows 10, version 1903, I have three different folders:
– 4K
– Screen
– Wallpaper
With a total number of 29 file and a file size of 15,8 MB
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Looking in the 4K folder you will find the following:

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Here you can see the different sizes (screen resolutions), in my case:
– 1024×768
– 768×1024
– 1366×768
– 768×1366
– 1200×1920
– 1600×2560
– 2560×1600
– 2160×3840
– 3840×2160
What is common for all these pictures here is the following:
Horizontal resolution: 96 dpi
Vertical resolution: 96 dpi
Bit depth: 24
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Under the Screen folder I have 6 different pictures: (lock screen)

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Here below you can see the properties of all this files:

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In the Wallpaper folder I have 3 different folders…

So, from here I am sure you can navigate you through the different folder and from now on know what to do and what is required when it comes to picture sizes, horizontal, and vertical resolutions, bit depth, etc.
I hope you find this post helpful.
PT