You are providing a very little information regarding your problem.
For Windows XP Professional
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1. Click Start - Run - type GPEDIT.MSC and press Enter
2. Expand to User Configuration - Administrative Templates - Control Panel -
Display
3. On the right-side pane double-click the entry "Prevent Changing Wallpaper"
4. If the value is set to "Not Configured" or "Enable" then set it to
"Disable"
For both Home & Professional edition
========================
1. Click Start - Run - type REGEDIT and press Enter
2. Expand to:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\
Explorer\ActiveDesktop
3. On the right side pane - check if there is an entry
"NoChangingWallpaper". Set its value to 0 by double-clicking or delete the
entry.
YOU CAN ALSO CHECK
===============
http://support.microsoft.com/kb/921049/
If that doesn't solve the problem, please explain what happens when you goto
Desktop tab of Display Properties and which Windows you are running
Professional or Home.
Hope this information helps you, let us know!