It depends on where you are downloading them from. Downloading screensavers or wallpapers isn't as risky as downloading other files, but you still need to check where you are downloading them from. If you download new screensavers or wallpapers from Windows then this should be fairly safe. Windows usually have a link to their website on your computer (in the Appearance and Themes section of your control panel) so that you obtain new wallpapers and screensavers when you wish.
If you have anti-virus software installed on your computer, then you should be warned of any high-risk websites. It is up to you whether or not you go ahead with it, but it is probably best to avoid it if there is a good chance that it will put your computer at risk.
If you have anti-virus software installed on your computer, then you should be warned of any high-risk websites. It is up to you whether or not you go ahead with it, but it is probably best to avoid it if there is a good chance that it will put your computer at risk.