Go to your "My pictures" folder and right click a picture and select "set as desktop background". See if that changes it, if you dont have any pics, use one of the sample pics just to see if this changes the background.
Try going online finding a pic you like and setting it as your desktop background (right click on picture, Select Set as desktop Background) and see if you can do it that way
In Display Properties, go to the Desktop tab and click on the Customize Desktop button. Go to the Web tab and uncheck everything there. Click OK.
See if you can then change the background.
The problem is often caused by malware so a thorough system scan with some spyware removal tools and an up-to-date antivirus program wouldn't be a bad idea.