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?

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.