When you drag and drop a picture, sound file, or video onto your desktop, it is not just a shortcut; it is an actual file on your hard drive. Things that you save to your desktop in Windows are usually kept in the "Desktop" folder under your user profile directory. Normally, you can find this directory in the "C:\Users\YourUsername" folder as stated by @ Josephur Therefore, in order to find and recover your data more quickly if you're having problems with file recovery, you should instruct your data recovery software to go through this Desktop folder.