|You are naming the photo files the same. This is the problem. You are overwritting the original picture file which appears that the picture was deleted.|
solution is to do as suatcini suggests but name the photo file a unique name.
It can be as simple as photo1, photo2, photo3.
Then go into the desktop properties and desktop background
With the browse button find the photo# you want and set it as the background.
Do the same process when you want to change to photo2 and so on.
Answers are only as good as the information you provide.
How to properly post a question:
Sorry no tech support via PM's