First of all, if your screen saver "hides" the pictures, often that means they meant to do it. Check the license agreement to see if you're violating copyright.
Most of the automatic screensavers I've used write a temporary bmp file with the current image, which can be copied and renamed quite easily. Some put the file in non-obvious places but windows search can find them if you search by date, etc.
What types of pictures do you like. More than likely, there are many hundreds of really free ones already available elsewhere on the web.
