Make a Registry Edit
HKCU\Software\Microsoft\Windows\CurrentVersion\Policies\ActiveDesktop
or
HKLM\Software\Microsoft\Windows\CurrentVersion\Policies\ActiveDesktop
In the right-hand pane, delete “NoChangingWallPaper” or change the value
to 0.
HKCU\Software\Microsoft\Windows\CurrentVersion\Policies\System
In the right-hand pane, delete “Wallpaper” and “WallpaperStyle”.
If you have XP Pro, use the Group Policy (gpedit.msc)
User Configuration > Administrative Templates > Desktop > Active desktop
Set “Active Desktop Wallpaper” and “Allow only bitmap wallpaper” to
Not Configured.