Hi
The files in your picture folder aren't really in your picture folder they are just links to pictures stored in other locations.
Right click on one and look at properties, it will show you where is is really at, probably in your C:\Users\User Name\Pictures folder.
Things on the Desktop are in the C:\Users\Username\Desktop folder.
So if you have a image linked to the pictures folder, and you delete it from the original location, it will disappear from the pictures folder too.
If you restore it, it will reappear in the pictures folder again.
For all practical purposes you can just ignore the Pictures Folder the images aren't really there anyway, it's just Windows way of making it easy to find things.
It sounds like you have a...