Correct.
Right click on your desktop and choose properties. You can also access this through the control panel. As for the actual desktop pictures (a.k.a. wallpapers), they are kept in C:\WINDOWS\Web\Wallpaper and some are in C:\WINDOWS\
However, if in fact these options/tabs have disappeared simply run group policy editor (gpedit.msc) and navigate to:
User Configuration
Administrative Templates
Control Panel
Display
Then proceed to enable/disable those functions (some include: "Hide Desktop Tab" = DISABLED, "Hide Settings Tab" = DISABLED, etc.).