Try this:
For Windows XP Professional
===================
1. Click Start - Run - type GPEDIT.MSC and press Enter
2. Expand to User Configuration - Administrative Templates - Control Panel -
Display
3. On the right-side pane double-click the entry "Prevent Changing Wallpaper"
4. If the value is set to "Not Configured" or "Enable" then set it to
"Disable"
For both Home & Professional edition
========================
1. Click Start - Run - type REGEDIT and press Enter
2. Expand to:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\
Explorer\ActiveDesktop
3. On the right side pane - check if there is an entry
"NoChangingWallpaper". Set its value to 0 by double-clicking or delete the
entry.
If that doesn't help then read what Microsoft has to say about this and
resolution:
Article published by Microsoft regarding the problem:
=====================================================
http://support.microsoft.com/kb/921049/
You can try if neither of above works:
======================================
A key in your registry is probably pointing to a deleted file refered to as
desktop.html
If you go into your regedit and follow this path: HKEY_CURRENT
USER/SOFTWARE/MICROSOFT/WINDOWS/CURRENTVERSION/POLICIES/SYSTEM
In there you may see a key that points to the C:\Windows\Web\desktop.html
If you see that key DELETE IT. Your virus software probably found this
hijack desktop viruz and deleted the infected file already.
Hope this help, let us know!