Open the Windows Registry Editor (can be a text editor) and do:
Windows Registry Editor Version 5.00
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\ActiveDesktop]
"NoChangingWallPaper"=dword:00000000
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\System]
"Wallpaper"=-
Save, close the file and then run it.
Enjoy!