https://www.winhelponline.com/blog/desktop-background-file-location-right-click-menu-windows-7/

Here is a small script which adds the Desktop Background File Location option in the Desktop context menu, which opens the current wallpaper file’s target folder and selects the file.

Note: This script doesn’t work in Windows 8 or 10. If you’re using Windows 8/8.1 or Windows 10, see article How to Determine the Current Wallpaper File Name and Path in Windows 8 and 10.

1. Download WPTargetDir.zip, unzip and extract the contents to a folder.

2. Move the file WPTargetDir.vbs to the Windows directory.

3. Double-click Add.reg to add the context menu option.

4. Hold the SHIFT key down and right-click on an empty area in the Desktop. You’ll see the Desktop Background File Location option.

control.exe /name Microsoft.Personalization /page pageWallpaper
Brings up dialog to show location