A similar method: Move only those two files, delete everything, move the files back:
@ECHO OFF
cd /D C:\WINDOWS\Web
MD Wallpaper0002 2>nul
for %%F in ("Do_Not_Delete.Me.txt" "Do_Not_Remove_Me.Txt") do move "Wallpaper0001\%%~F" "Wallpaper0002\"
del "Wallpaper0001\*" /f /q
move "Wallpaper0002\*" "Wallpaper0001\"
rd "Wallpaper0002" /q
That one is more flexible, as you have to provide the file names only once (in the FOR). The double quotes are not necessary here, but as soon as there are spaces in paths or file names, they are required.
Another popular approach is to set those files to e.g. hidden/system, and delete anything non-hidden:
@ECHO OFF
cd /D C:\WINDOWS\Web\Wallpaper0001
for %%F in ("Do_Not_Delete.Me.txt" "Do_Not_Remove_Me.Txt") do attrib +h %%F
del /a:-h * /q /f
attrib -h *