I've had a look around and although I've not come across this problem others have! Try following the link below and if you're brave enough to delve into the registry it will probably fix it. Don't forget to take a back-up of your registry before you attempt to do anything! When you're in 'regedit' click on File and Export - choose a location to export a backup of the registry to so that if anything goes wrong you just have to double click on the backup file to restore the registry to its previous state. good luck!
http://forums.techguy.org/windows-nt-2000-xp/5 33311-desktop-background-locked.html
Hope this gets you on the way ...