Computer Game help?

I've got Vista on this laptop, and it came with the HP Game Console that uses the Wildcoins system.  On it, I've been paying real money to get pretend coins to pay to play a game called "Sky Kingdoms", by Alawar Entertainment and some other folks; it's a Zuma-esque game with a few entertaining twists.

One of the big draws that persuades me to pay more (real, then virtual) money for a chance to play this game again is that each completed superset of levels will reward the player with a drop dead gorgeous fantasy-based wallpaper.

What I want to know is:  where are these wallpapers at, on my computer, once I've earned them?

Y'see, once I select a wallpaper and tell the game to make it my desktop background, that works perfectly right up until I:
-- go into the Personalize menu for Vista, and choose either "Desktop Backgrounds" or "Theme".  The image vanishes, and now I'm looking at a plain, solid color (black, as it happens) for my desktop.

-- exit the game.  About five minutes later, the desktop image vanishes, regardless of what else I do, including play another game through the HP console.

And in Vista, of course, I can't right-click the desktop and get image location info under "Properties".

I've Googled all the combinations I can think of for "Sky Kingdoms", "wallpapers", "directory", "Alawar", and "how do I find it?".  I even tried "walkthrough".  Several reviews mention the wallpapers, but no forums or help sites -- including Wildcoins and Alawar -- has any mention of my problem.

Would I have to buy the game directly from the creators, install and replay it, just to get these wallpapers?  I've earned five of 'em so far.