You can put these into a folder named DesktopBackground (all one word with capitals as shown - this is not a name, but rather a Dword used by the operating system) and then put that into another folder called Blue Skies. Go into Control Panel to File Explorer Options, to its View tab, and change the setting to "Show hidden files and folders" so you can see the system folders you will be working in.
Now, navigate to C:\Users\Your User Name\AppData\Local\Microsoft\Windows\Themes, and then drag & drop your new Blue Skies folder into that Themes folder. Open the Themes folder, Open the Blue Skies folder, Open the DesktopBackground folder in it, and "Select All", then right-click any one of those, and choose "Set as Desktop Background". You should immediately see the new image on screen. Close all those folders. Then right-click on an empty area of your Desktop, and from the little menu, choose the bottom item on the list, "Personalize", and use the normal controls to go into its Themes display, and find your new Theme as a thumbnail in the upper left corner of the top section reserved for "My Themes". Right-click that little thumbnail box to bring up a little pop-up window where you can give it its official name and save it. Make any other settings changes you wish while there, and then close all that and enjoy your new desktop theme.
In use, this new theme looks like this.....................>