The images will be stored in your dreamweaver configuration folder. I found that one at: C:\Users\[yourusername]\AppData\Roaming\Adobe\Dreamweaver [version]\en_US\Configuration\Shared\WebAssist\DataAssist\images\Icons
But I'd probably just run the wizard in a different folder and try to get them generated that way to save some time. Just delete the pages after but the media should be saved.