you got at least 2 choices
1) put your downloaded walls where WB can find them, such as in: C:\Documents and Settings\All Users\Documents\Stardock\WindowBlinds\Wallpapers (for xp)
2) tell WB where to find them; open WB configuration, click the wallpaper tab, click the 'hammer/wrench' on the bottom right, click 'add folder', browse you the folder your downloaded walls are in.