open regedit and nevigate to:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\ActiveDesktop
and look if there following two keys exist:
NoChangingWallPaper
NoHTMLWallPaper
If both or one of them exist, then change their value to 0
Now nevigate to:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer
And check if
NoActiveDesktop
NoActiveDesktopChanges
exist, if YES then change their values to 0
It should solve ur problem...