Hi,
A couple of things to try:
Open up the Registry editor by going to Start => Run and typing in
"regedit" {without the quotes}
Navigate to this key:
HKEY_CURRENT_USER
Software
Microsoft
Windows
CurrentVersion
Policies
System
Look for a String in the right-hand pane called Wallpaper. If it's
there, probably pointing to the path to an image file, note down this
path so you can delete the file later. Now right-click on Wallpaper and
Delete it.
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Right-click anywhere on your desktop and select 'Properties'.
Click the 'Desktop' tab and click the 'Customize Desktop' tab.
Click the 'Web' tab and delete everything except "My current Home page"
Uncheck (clear) 'My current Home page'.
Click OK and retry a Desktop background.