It is not in the Startup group, so there is nothing to remove.
It is not in msconfig, so there is nothing to uncheck if it is there.
It is not a service, so you can't switch it from Auto to Manual if it
is there.
If you run BGInfo it will lay a copy of your information over your
existing wallpaper by your choice. That is what it does. It is not
messing up your wallpaper, it is doing what you told it to do.
If you don't like it, change your wallpaper back, or tell BGInfo not
to do that when you run it, or tell it to do something else using
command line switches or a configuration file:
http://technet.microsoft.com/en-us/sysinternals/bb897557.aspx