Start by going to Local Disk (C:) on your file explorer. Once you’re clicked onto the C drive you will need to copy and paste the following line in your directory path:
Once you press enter it should start to bring up all files used for the lock screen images. The files won’t have thumnail previews or file extensions, so they will not be usable images yet.
There is a much easier way to do this of course. The Microsoft Store has a free app called Dynamic Theme that will allow to to edit and save the lock screen images.