Hello sparkyz92

Have you recently cleaned out any nasties such as SpySherrif? This seems to be one of the main causes of the problem.

Have you seen any security alerts in the taskbar stating that there are various security risks with your computer?

Here are a couple of things to try, but if they don`t work I think you may have some sort of malware.

Right click Desktop/Properties/Desktop/Customise Desktop/Web

Uncheck anything in the white box entitled "Web Pages"
Also uncheck "Lock Desktop Items".
Click OK
"Apply".

If that does not work go to
http://www.kellys-korner-xp.com/xp_abc.htm

Click “W”
Click “Allow Wallpaper/Background Changes”

Save the REG File to your hard disk. Double click it and answer yes to the import prompt

Let us know if anything helps