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What app are you using to download the images from the web? Safari? In the menu go View > Show downloads. Next to each download in the download list there will be a magnifying glass. Click that and it should open the folder that the file was saved to. It should be your downloads folder, unless you've set a different folder.
 
no, it's an app http://itunes.apple.com/us/app/wallpapers-hd-lite/id441812880?mt=12

Thanks
 
Sorry, I've never used that app. You could check in your pictures folder. It might create a wallpaper HD folder in there?

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I just looked at the app on the app store. On the 3rd image it shows an icon, with 3 arrows pointing to it, and 'where are my wallpapers' If you click on that does it open up the folder? If not, you could search for files created today [or whatever day the app downloaded the images]. Go finder > file > find

Then choose 'created date'.
 
where is your wallpaper?

open the app, underneath the buttons for "rate" and "get" are several smaller icons. these (on mine at least) are twitter, mail, Facebook, a filing cabinet, and preferences. click the filing cabinet, there are your files my brother.
 
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