If it is only you who has access and you are confident that no one else ever will, then:
1) Do absolutely nothing - if no one else is ever going to use that computer then you can download and keep the photos where you like, including the desktop
or 2) if you are afraid that somebody may inadvertently log on and use your computer then create a user profile:
Click Start - Control Panel - User Accounts-Manage Accounts-Create Profile-Create Password.
A password protected user profile will protect you from people who by chance go to on your computer.
(If you had a wife,girlfriend,family,children then I would have shown you how to create a virtual drive but as you don't, you don't need that level of protection).