Thanks to Anant Milk now I know this is called the Lock Screen. Knowing that, I found the answer in google: http://www.tenforums.com/customization/5428-windows-spotlight-lock-screen-image-location.html
The path to the images in Lock Screen (and some others used by the system) is
C:\Users\\AppData\Local\Packages\Microsoft.Windows.ContentDeliveryManager_cw5n1h2txyewy\LocalState\Assets
Rename extensions to jpg and you can get them.