The following group policy setting will do what you need
Disable changing wallpaper
User Configuration\Administrative Templates\Control Panel\Display
Description
Prevents users from adding or changing the background design ("wallpaper")
of the desktop.
By default, users can use the Background tab of Display in Control Panel to
add a background design to their desktop. If you enable this policy, the
Background tab still appears, but all options on the tab are disabled.
Related Policies
Hide Background tab
Active Desktop Wallpaper
Allow only bitmapped wallpaper
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Tim Hines, MCSE, MCSA
Windows 2000 Directory Services
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