I have the same problem. The background is there on startup, but quickly disappears to a white "screen" that blinks occasonally.
When I right-click and select properties, I get "file://C:\WINDOWS\Web\desktop.html" I cannot locate any such file. I have run spybot, adaware and hijacker; I then ran a utility from Symantec for a "ghost" program. I run Norton Internet Security and it got through without sending any flags up; I ran Antivirus and it comes up clean. I ran disk cleanup to remove clutter, followed by a full defrag. I tired a system restore, but it remains.
I have noticed system speed is reduced, yet no visible programs running according to task manager. I picked it up when I opened a page from a Yahoo search, that launched 6 more pages before I could shut them down. Afterwards, this was there.