Windows virus - desktop background change

I was browsing on chrome (with an ad-blocker) and suddenly got my desktop background change with a nasty picture. I am using windows 10 with Microsoft Windows defender and a free MalwareBytes antimalware. I found the source of that picture it was from a site which is considered blocked (on facebook) it was (http://x.imagefapusercontent.com).

1. How is it possible for some script to save the image not on my downloads file but in a folder that I haven't used for years?
2. How is it possible to change the desktop background automatically?

The steps that I took to counter were, I checked all the programs which run on startup, checked the windows event viewer, checked the background processes details if any new unknown was running, however nothing helpful was noticed. I also run some virus scanning with the above programs but no thread found. Should I consider anything else?

Thank you very much in advance !

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