The default location for pre-installed Windows 7 themes are located at :
c:windowsresourcesthemes
Locations for other wallpaper theme files :
c:windowswebwallpaper
For themes that you have downloaded yourself :
C:Users{username}AppDataLocalMicrosoftWindowsThemes
To add a wallpaper to a theme: copy your own wallpaper image files to the folder that has the same theme name you would like to use. Then, enable the wallpaper in “Personalize –> Desktop Background.”