Dont know if this is cool, but here is the tutorial anyways.
First navigate to: %SystemRoot%\Web\Wallpaper
Thats pretty much it, place your wallpapers there, create new folders etc, and they will show in the Windows Desktop Backgrounds menu in wallpaper selection :)
This can also be done with Sounds :o
Just navigate to: %SystemRoot%\Media
Attached Thumbnails
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