In XP do it this way:
For XP Pro. Here is how to do it:
Go to Start --> Run and type "gpedit.msc" without quotes. In Group Policy Editor, go to:
Local Computer Policy --> User Configuration --> Administrative Templates --> Control Panel --> Display
There you have the setting with name "Prevent Changing Wallpaper".
Also look at this link:
http://www.brighthub.com/computing/windows-platform/articles/48343.aspx
Roaming profiles may be a big help here.
Enable this setting to do what you desire.
Or also thru the registry as below:
NoChangingWallpaper -
Disable the ability to change wallpapers.
NoComponents -
Disable components.
NoAddingComponents -
Disable the ability to add components.
NoDeletingComponents -
Disable the ability to delete components.
NoEditingComponents -
Disable the ability to edit components.
NoCloseDragDropBands
NoMovingBands -
retrict adjustments to desktop toolbars
NoHTMLWallPaper -
only allow bitmaps (BMP) as wallpaper
These restrictions can be used either on a user by user basis by adding it to HKEY_CURRENT_USER or on a computer wide basis by adding it to HKEY_LOCAL_MACHINE.
[FONT=verdana,arial]
Settings:[/FONT][FONT=verdana,arial]
User Key: [HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\
ActiveDesktop][/FONT]
[FONT=verdana,arial]
System Key: [HKEY_LOCAL_MACHINE\Software\Microsoft\Windows\CurrentVersion\Policies\
ActiveDesktop][/FONT]
[FONT=verdana,arial]
Type: REG_DWORD (DWORD Value)[/FONT]
[FONT=verdana,arial]
Value: (0 = disable restriction, 1 = enable restriction)[/FONT]