I'm a little thrown by this. If the pictures are visible in the software then that means they are somewhere on the computer. Go to (Settings-->Software-->Collection) and see what picture folders are being monitored. Most likely that's where your pictures are. I don't think you can drag-and-drop from the software to the desktop, but if you can find the folder they are contained in that might make things easier for you.
If I have mis-read the question, I apologize, but that's how I'm reading it :-)
Hope this at least gets you a tad closer to your solution...
Marques Lyons (tromboneforhire)
Zune MVP
Contributor, http://www.insidethecircle.net