I wonder if I can get any screensaver.

I found one in Internrt, but link to file is broken.

So...

Care to elaborate? A Grim Fandango screensaver, or what?

If it is a GF screensaver you are talking about, there are none on the internet.
But it's really easy to make one; just get hold of a bunch of images from the game, and put them on a special folder. Then all you have to is right-click the screen and choose properties, screensaver, and click presentation of "my images", then pick configuration and choose browse in order tp look for the folder.
It might seem rather difficult for the way I described it, but it very simple.

By the way, Russia? I'd kill to visit your country.

When I googled "Grim Fandango screensaver" I found some, but I can't download them

Don't download Screensavers (unless we are talking about animated ones, which
can't be made by an amateur), they take up too much space, and most of them have got Spyware or Trojans (personal experience; but I doubt a GF fan would include any of those).