If you are using Windows 10 you might want to save the lock screen images as a background or just because you like them.
The images can be found in this folder:
Select all and copy these files to a new folder where you want to keep / edit them.
The files in this new folder have to be renamed to .jpg to use them with a image viewer / editor. You can do this by starting a command line window and make the folder you created as the current directory. Then execute “ren *.* *.jpg” from this command line window.