Why do you want to delete them? Screen savers generally have an extension of *.scr. You could search for those files and delete the ones you don't want. Wallpaper files are usually graphic files like *.jpg and *.bmp. I don't know what you mean by "desktops". Do you mean themes?
To delete anything you download to your hard drive, you go into windows explorer (file manager) and click on the folder or location you downloaded the item to which then shows you the contents of that folder. You click on each item to highlight it and press the delete key. It's deleted to your recycle bin which needs to occasionally be emptied also.
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