Well he doesn't know where it is stored I'm guessing. Also all default wallpapers are stored in a specific directory but if he applied a custom wallpaper, how can he find it since he said he did not back it up? And iFargle idea works as well if OP has Vista.
Right click on desktop >> properties >> desktop >> browse
Every time I have ever done that it opens the folder containing the current desktop BG image. It's worth a try at least.
It is not the same in Vista/Win7 as it was in XP. So the steps are not going to be the same. As right clicking on the desktop and selecting properties, doesnt give you the wallpaper selection anymore. You need to right click the desktop and select Personalize.
Also if you are using Vista or Win7, the image is already stored on your PC.
Right click>Personalize>Desktop Background
Once in there just right click on the image and select properties. That will tell you exactly where the image is stored on your PC. Can jsut move to a location that you want so you know where it is.