I remember when I first got my phone thinking the same think. It used to bug me until I got a theme that I actaully liked. If it bothers you then click on the wallpapers button at the top of the page.
I don't know if it's actually a file on the phone. I know once you change the wallpaper it will be gone forever unless you reset the theme/wallpaper. You could also try googling for the picture.