It worked with the desktop backgrounds
Put them on your desktop
Most likely you have saved the pictures in a different folder / desktop.
If you have it on the desktop, you can click on Desktop on the left in the various columns.
Otherwise, click on Quick Access and then enter the name of the file in the search area.
What about "Add Folder" below?
Choose the folder where the pictures are.
Are there any requirements for the type of file, e.g. Jpg, bmp or?