Windows 7: Theme background pictures delete when removed?

Having a problem,
I have my desktop set on rotating out the background pictures every few minutes,
done in Windows 7 personalization..
When I delete a picture from the list, it actually deletes the damn picure off my computer.. I hadnt notice at first, now I am missing a ton of pictures I cant get back..

why does it do that, and how do I fix it?

also it would not let me under My Themes to have different sets of background pictures..
As in,
I have 2 themes, but both use the same pictures.. if I add to one, it adds to the other, and it also deletes permantely when I remove one from the other..
wth?

Why are you deleting the desktop pictures in that mode?
Just change the picture you want and hit the save button.
Why does it delete when you tell it to? Probably because you are using Windows Explorer to find and view the pictures. Just stop deleting.

I'm trying to remove them from inside the personalization menu, so there not listed there anymore... it's to much clutter, I have would have different themes but that's not working, so I have folders with theme names... I turn some on, I turn some off.. it's getting to be to much.
I think this crap is broken, they should fix it...
I'm not in exploring the folder.
There file options are only a thumbnail with a check mark...
I can remove the check mark, save theme.. picture is still in the list..
and listed with path, ie, c:/user/me/pictures/wallpapers etc.

Also when I try to save a theme, I cant update it.. it just resaves as another name.. and sometimes, it will let me delete the older one, sometimes not..
I dont always save them in the same name, but i get tired of Solar12, because I couldnt name the damn thing Solar again, because you cant update it and have to make a whole freakin new one.