First, welcome to the Mac computing experience. Sounds like you've made an excellent choice with the G5 iMac.
There will be a little bit of a learning curve for you to get used to your imac, mainly because you will be trying to do things the way you have been used to with PC's. I described it as the left and right sides of my brain trying to fight one another. Try to avoid always assuming things should be done the Windows/PC way, and start with the thought, "How should this work?" The way to do most things is usually easier than a newbie tries to make it.
Probably the best support book is the series written by David Pogue, "The Missing Manual: Mac OS X: Panther". (May not have the words in exactly correct order; but be sure to get the one for your OS version, e.g., Panther). And there are some excellent resources on the web such as this forum, various mac user groups, and apple.com (click on the support tab, then click on training, then mac users, etc). If you have a .Mac account, they offer free online access to many tutorials on their sw. Or, if you live near an Apple store, they have regularly scheduled training classes, should you need them.
As for your screensaver, click on system preferences, then on Desktop & Screen Saver. You need to spend some time in all the various places withing system preferences, and explore the effect of changes you can make there. As to your question about saved web images, did you look in your pictures folder?? (click on Finder, then on the pictures folder, etc)
Good luck! Don't be afraid to ask more questions. Most of us have asked our share of questions here.... that is the point of the place, you know!