Where does Windows store its wallpapers?

It should be here, at least if it is a stock wallpaper:

C:\WINDOWS\Web\Wallpaper

If it is custom, it is here:

C:\Documents and Settings\username\Application Data\Microsoft\Internet Explorer\Internet Explorer Wallpaper.bmp

With FF 4, it saves it to:

C:\Documents and Settings\username\Application Data\Mozilla\Firefox\Desktop Background.bmp

After you clarified that you actually wanted the location that Firefox saved it to, I noticed something: If you go to the location where the wallpaper is set, the name of it there, is the name of the actual file. So as in this screenshot,

the name is Desktop Background, so doing a dir "desktop background.bmp" /s would find it. I would assume this would work even if another browser saved it to yet another location, or file name.

C:\Documents and Settings\username\Local Settings\Application Data\Microsoft

Should be in this location.

In Windows 10 (also 8.1) the wallpaper is under this folder location:

C:\Users\username\AppData\Local\Microsoft\Windows\Themes\RoamedThemeFiles\DesktopBackground