|Graham, It's possible that Active Desktop is enabled. To Disable Active Desktop. Open the Control Panel. |
Open Display Properties.
Click the Desktop tab.
Click the Customize Desktop button.
Click the Web tab in the Desktop Items window.
Make sure all checkboxes in this window are un-checked including My Current Homepage.
Restart your computer.
If that doesn't correct the problem go to the link below and under the letter "W"--"Wallpaper - Desktop - Disable Changing" click on "Allow Wallpaper/Background Changes" to download a reg file fix. Save the REG File to your hard disk. Double click it and answer yes to the import prompt.
Allow Wallpaper/Background Changes Fix